中国股票市场指数效应的实证研究

Empirical Analysis of Index Effects of China's Stock Market

选取截至2003年6月底之前调入和调出上证30指数、上证180指数、深证40指数、深证100指数的股票为样 本,对我国股市的指数效应进行实证研究.研究发现,调出指数的股票组合大多具有显著的负价格效应和正成交量 效应,而调入指数的股票组合大多不具有显著的正价格效应和正成交量效应.其中,调出深证40的股票和调出上 证180的股票的指数效应符合价格压力假说,调入和调出上证30的指数效应符合信号假说.指数效应原因的不同 反映了我国股票市场发展的实际情况.

This paper examines index effects of SSE30,SSE180,SZSE40,SZSE100 using index replacements information by June 1999. The empirical results show that deleted stocks mostly yield statistically significant negative price effects and positive trading volume effects while added stocks don't yield those.Among all index replacements,index effects of stocks deleted from SZSE40 and SSE180 conform to the price pressure hypothesis while index effect of SSE30 replacement satisfies the signal hypothesis.Furthermore,we find the difference of index effects reflects the change of China's stock market.