一种统一尺度下股本折算加权的指数构建方法及其应用  

A United Share-Discounted Weighting Method and Its Applications

作　　者：程兵[1] 张晓军[1] 姜铁军[1] 

机构地区：[1]中国科学院数学与系统科学研究院,北京100080

出　　处：《系统工程理论与实践》2003年第10期36-42,共7页Systems Engineering-Theory & Practice

基　　金：国家杰出青年基金(2388100)

摘　　要：通过实证检验发现:中国股票市场中,股票换手率与股本效应的关系紧密,但是换手率与流通比率之间的相关性很弱.因此在构建全市场指数时,换手率不适合作为股本折算比率.在此基础上,提出了统一尺度下的股本折算加权方法,并给出了三种折算方案:凹性折算方案、线性折算方案和凸性折算方案.从投资角度上分析,凹性折算方案最好,能够减弱非流通股本人市可能带来的市场冲击.The relationship between turnover and circulating ratio of stocks is not significant, but turnover is closely related to the ratio of tradable shares by the empirical analysis. Turnover is not a good indicator for the ratio of the share discounting factor. We give a new weighting method ?united share-discounted weighting method- to solve the weighting problem of the new index. Finally, we suggest that the concave discount function is better than others in the meaning of investment.

关 键 词：股票指数 流通比率 换手率 指数基金 

分 类 号：F830[经济管理—金融学]