摘要
个股及组合整体的流动性问题在指数复制中至关重要,其直接关系到组合调整时的市场冲击成本问题,在市场深度不足的情况下低流动性甚至还可能导致指数复制的失败。本研究从组合构建和调整、抽样方法及模型等方面对指数优化复制中的流动性问题及其改进做了探讨,并以上证180指数为标的进行实证研究,对流动性改进的方法、模型的应用及改进后复制效果上的不同给出实证结论。
Stock or portfolio liquidity is much critical in the index optimization, for it directly relates to the impact cost of (portfolio) adjustments, and may result in index replication failure under the market depth deficiency. This research makes a study on the liquidity improvement in the index-optimized replication from portfolio construction and adjustments, sampling methods, and arithmetic models as aspect. Then also empirically tests the results when chose Shanghai Securities Exchange 180 index as benchmark.
出处
《系统工程》
CSCD
北大核心
2005年第2期55-61,共7页
Systems Engineering
关键词
优化复制
流动性改进
实证研究
Optimized Replication
Liquidity Improvement
Empirical Test
