沪深300成分股调整与股票收益的同步性研究  

SHSW-SZSE300 index adjustment and stocks return co-movement

作　　者：饶育蕾[1] 鲍玮[1] 彭叠峰[1] 

机构地区：[1]中南大学商学院,湖南长沙410083

出　　处：《中南大学学报（社会科学版）》2015年第1期111-118,共8页Journal of Central South University：Social Sciences

基　　金：国家自然科学基金面上项目(71071166)

摘　　要：对2005—2012年间调入沪深300指数股票样本进行分析,实证发现股票与指数成分股的同步性在加入指数后出现上升,并且在金融危机时期和沪深300股指期货成立后调入股票的同步性上升现象更为显著。这一结果与基于情绪的同步性理论预期相一致。进一步实证发现,调入股票的同步性上升现象与股票在调入后换手率的变化无关,文章的结果不支持非交易假说。此外,信息效应在股指期货成立后效果更加明显,因而信息扩散理论可以部分解释调入股票同步性的变化现象。In this paper, the authors analyze the stock samples added into Shanghai and Shenzhen 300 index（SHSE-SZSE300） during 2005-2011. The results empirically reveal an increase of co-movement between added stockand index constituents after the index replacements, and show that, such phenomenon has been notable in the recentfinancial crisis and after the introduction of the SHSE-SZSE300 index futures. These findings are consistent with theexpectations of sentiment-based co-movement theory. Further specific studies suggest that, after the index replacement,the enhancement of co-movement is independent of the changes in added stock turnover. Therefore, it can be concludedthat the results of this paper cannot easily be explained by the non-trading hypothesis. In addition, the effect ofinformation reaction on added stocks is obviously increased after the introduction of the SHSE-SZSE300 index futures.So the co-movement phenomenon could be partly explained by the information diffusion theory.

关 键 词：同步性 沪深300指数 股指期货 贝塔 投资者情绪 

分 类 号：F830.91[经济管理—金融学]