| 成份股调整事件套利策略实证研究 |
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| 引用本文： | 谢静雯.成份股调整事件套利策略实证研究[J].苏州教育学院学报,2011,28(3):55-58. |
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| 作者姓名： | 谢静雯 |
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| 作者单位： | 中南财经政法大学金融系,湖北武汉,430060 |
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| 摘 要： | 通过运用事件研究法,对沪深300历史11次调整成份股进行实证检验发现,调入指数股票在公告日和调整日附近均不存在价格效应,调出指数股票在调整日前后出现显著的异常收益,但随后出现收益反转,即指数调整效应是短期的。在调出股票存在短期价格效应的条件下,以2010年7月沪深300指数调整为事件,在调整日后9个交易日内,利用股指期货和调出股票等权组合进行事件套利,套利收益为2.91%。
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| 关 键 词： | 指数调整效应 沪深300指数 事件套利 |
Research on the Event Arbitrage of Price Effects Associated with Changes in HS300 Index |
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| Authors: | XIE Jing-wen |
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| Institution: | XIE Jing-wen(School of Finance,Zhongnan University of Economics and Law,Wuhan 430060,China) |
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| Abstract: | Event study on the stock reaction that occurs when shares are added to or deleted from HS300 index indicates that no abnormal returns are observed when shares are added to the index,neither on the announcement day nor the effective day.When the effective day of the change arrives,the statistically significant returns are observed for the shares deleted from the index,but it reversed within nine days after the effective day.By using the price effects of shares deleted from index,an arbitrage portfolio,which is comprised by the stock index future and equal-weighted stock portfolio,is created for event arbitrage.The empirical evidence shows that the arbitrage return is 2.91%. |
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| Keywords: | index effects HS300 index event arbitrage |
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