基于Fama-French三因子模型的沪深300指数效应实证研究  

Empirical Research on HS300 Index Based on Fama-French Three-Factor Pricing Model

作　　者：范建华[1] 张静[1] 

机构地区：[1]陕西师范大学国际商学院,陕西西安710062

出　　处：《重庆工商大学学报（社会科学版）》2013年第3期31-38,共8页Journal of Chongqing Technology and Business University：Social Science Edition

摘　　要：本文采用事件研究法研究了沪深300指数的指数效应,引入短期事件窗和长期事件窗分别考查了指数调入股票和调出股票的价格和交易量的市场反应。在研究股票的价格效应时,引用Fama-French三因素模型来计算股票的超额收益。实证研究发现,沪深300指数存在显著的指数效应,但是调出股票和调入股票的指数效应并不对称,调入股票的指数效应更为显著,符合市场分割假说。This paper uses event study method to analyze exponential effect of HS 300 index, introduces short-term event window and long-term event window to separately examine the market reaction to the prices and exchange amount of the stocks adding to and deleting from HS 300. Fama-French Three-factor Pricing Model is used to calculate the excess profit of the stocks in the study of the price effect of the stocks. Empirical research indicates that HS300 index has significant exponential effect, but the exponential effect for the stocks adding to Or deleting from HS 300 is not symmetric, the exponential effect for the stocks adding to HS300 is more obvious, which fit for Market Segmentation Hypothesis.

关 键 词：指数效应 沪深300指数 FAMA-FRENCH三因子模型 

分 类 号：F830.91[经济管理—金融学]