被动资金视角下的A股指数效应与套利策略  

Chinese A-Share Indexes Revision and Arbitrage Strategy Construction:from Evidence of Passive Index Fund Tracking

作　　者：江林锴 JIANG Linkai(Shanghai Advanced Institute of Finance,Shanghai JiaoTong University,Shanghai 200030,China)

机构地区：[1]上海交通大学上海高级金融学院,上海200030

出　　处：《上海管理科学》2024年第1期49-55,107,共8页Shanghai Management Science

摘　　要：通过分析2009年至今中国A股三大指数的定期调整对样本股票的影响,可以发现从指数调整公告日到调整实施日的两周窗口期内,新纳入的成分股相对于被剔除的股票具有显著的超额回报,但该现象在指数调整正式实施后出现逆转。回归分析证明,被动跟踪基金的提前调仓行为对以上现象具有一定的解释能力。实证回测发现,构建基于被动跟踪资金的套利策略具有高额收益。Main focuses are the return effects of Chinese A-share indexes revisions and arbitrage strategy construction.With the investigation on the short-term effects of index revisions made by China main three A-share indexes on a sample of stocks since 2009,it is of significance to find the rising trend in the return of added stocks compared to deleted firms during the two-week window from the announcement of the index revision to the implementation day through basic statistic method.However,this trend is completely reversed after the revision is implemented.Through further regression,a possible explanation was obtained for this phenomenon from the early portfolio adjustment of passive funds.Results from empirical tests guide us form the trading strategy with high excess return based on the passive funds scale.

关 键 词：指数调整效应 被动资金 套利策略 

分 类 号：F832.5[经济管理—金融学]