成份股信息能否预警股市崩盘?  

Could Constituent Stocks'Information Predict Stock Market Crash?

作　　者：于孝建[1,2] 曾文正 邹倩倩 Yu Xiaojian;Zeng Wenzheng;Zou Qianqian(School of Economics and Finance,South China University of Technology,Guangzhou 510006,Guangdong,China;Research Center of Financial Engineering,South China University ofTechnology,Guangzhou 510006,Guangdong,China;Wanlian Securities Company,Guangzhou 510627,Guangdong,China)

机构地区：[1]华南理工大学经济与金融学院,广东广州510006 [2]华南理工大学金融工程研究中心,广东广州510006 [3]万联证券股份有限公司,广东广州510627

出　　处：《金融发展研究》2020年第8期65-73,共9页Journal Of Financial Development Research

基　　金：中央高校基本科研业务费专项资金“市场不同波动下我国大宗商品期货国际定价权”(XYMS201908)。

摘　　要：本文基于修正信息份额模型,利用市场指数及其成份股的信息构建预警指标,从指数成份股的信息这一角度研究股市崩盘预警问题。以成份股相对指数的信息份额衡量单只股票推动指数的能力,并以所有成份股信息份额的方差描述成份股轮动推动指数变化的程度大小,以此构建预警指标,研究结果表明:在上涨行情中,成份股轮动推动指数上涨的现象明显,随着轮动程度减弱,股市容易发生崩盘;以信息份额的方差构建预警指标可以较好地对指数的大幅下降做出预警,成功预警本文定义的5次崩盘中的4次。Based on the update information quotient model,this paper builds a warning indicator by using market index and its component stocks information.And the problem of early warning is studied from the perspective of component stocks information.It measures single stock capacity to propel index according to the information portion of constituent stocks,and the level of constituent stocks propelling change in indicator is described by taking all the variance of component stocks information.Thus,the warning indicator is built.The result shows that:the component stocks pushing in rotation the index increases is obvious in the bull market.With the rotation gets weak,the stock is easily to crash;building the early warning indicator by the variance of information portion can well warn the sharp decrease of the indicator.In the 5 crashes defined by this paper,a total of 4 times were successfully predicted.

关 键 词：股市崩盘 信息份额 修正信息份额 

分 类 号：F832.5[经济管理—金融学]