延迟新股纳入对股票指数的影响研究  

The Effect of Postponing the Inclusion of New Shares on the Return of Shanghai Composite Index

作　　者：宋军[1] 苏智攀 钱程[1] 

机构地区：[1]复旦大学经济学院,上海200433

出　　处：《证券市场导报》2016年第7期41-49,共9页Securities Market Herald

摘　　要：考虑到新股上市后长期弱势且我国常用新股快速进入指数的方法，本文提出新股延迟纳入股指的建议。以上证综指为标的，考察如果实施新股延迟纳入指数对上证综指收益率的影响，观察时间区间为2006年6月12日～2015年3月6日。研究结果发现，如果延迟新股纳入指数的时间，上证综指的收益率在观察期间内获得了显著提升，采取不同的纳入时间的调整指数均获得了超过50％的累计超额收益率。研究还发现，指数收益率的提升很大程度上是通过减弱（超级）大盘股上市后纳入指数计算造成对指数平均收益率的拖累实现的。This paper, use data from Jun. 12, 2012 to Mar. 6, 2015, by postponing the inclusion of new shares into Shanghai Composite Index, to study this postponing effect on the return of Shanghai Composite Index. Research findings are as presented as below. By postponing the inclusion of new shares into Shanghai Composite Index, the return of stock price index gained a significant increase during the observation period. The accumulated return of new stock price index all showed an over 50% increase by postponing the inclusion of new shares into Shanghai Composite Index to 90 days, 180 days, 270days, 360days, and 720days after its listing date. The research also finds that the effect of postponing the inclusion of new shares on the return of stock price index can be explained by minimizing the negative effect of huge/large-cap stock on the index, many of which usually underperformed the market.

关 键 词：新股延迟纳入 新股长期弱势 股价指数 

分 类 号：F832.5[经济管理—金融学]