股票价格成份指数编制方法研究

Research on Constructing Stock Price Constituent Index

本文运用决策树和Logistic回归将基本面因素引入股价指数成份股的选择和权重的确定,编制引导基本面投资理念的基本面股价成份指数(JOYFI300),并论证了该指数在超额收益方面表现出良好特性。首先通过决策树引入净利润和成交金额变量作为成份股的选样标准,选择成份股初始样本;建立Logistic模型分析基本面变量对成份股权重的影响,通过数据分析客观确定指数成份股及权重;实证检验JOYFI300指数各项性质,与沪深300、中信标普300的比较表明该指数具有更优的超额收益。

Based on decision trees and Logistic regression, we select constituent stocks and determine their weights with fundamental factors. Fundamental stock price constituent index（JOYFI300） , created as a guidance to fundamental investment, is testified better on excess return. Firstly, two selection measures, net profit and trading value, are chosen by using decision trees, and then initial samples of constituent stocks can be found out by these two factors. Secondly, the influence of fundamental factors on weights of constituent stocks can be analysed and determined by Logistic model. Finally, after testing and comparing we find that JOYFI300 Index is better on excess return than Shanghai-Shenzhen 300 and CITIC/S＆P 300 Index.