| 沪深股市指数效应研究与行为金融学解释 |
| |
| 引用本文： | 封文丽,刘晓磊. 沪深股市指数效应研究与行为金融学解释[J]. 北华大学学报(社会科学版), 2008, 9(6): 29-34 |
| |
| 作者姓名： | 封文丽 刘晓磊 |
| |
| 作者单位： | 河北经贸大学,金融学院,河北,石家庄,050061 |
| |
| 基金项目： | 中国证券业协会科研课题(SAC2008KT-YG04) |
| |
| 摘 要： | 指数效应是证券市场的一种异常现象，是指指数调整其成分股会引起被调整股票价格和交易量的异常变动。本文运用事件分析法，以沪深300和上证180指数调整的样本股为研究对象，检验个股在调整前后的异常收益率和异常交易量，得出指数效应显著存在于沪深股市的结论，并用行为金融学的理论解释其成因，旨在指导中小投资者投资和完善我国证券市场的监管工作。
|
| 关 键 词： | 指数效应 行为金融学 异常收益率 异常成交量 |
Study on the Hushen Index Effect and Demonstration of Under Behavioral Finance |
| |
| FENG Wen-li,LIU Xiao-lei. Study on the Hushen Index Effect and Demonstration of Under Behavioral Finance[J]. , 2008, 9(6): 29-34 |
| |
| Authors: | FENG Wen-li LIU Xiao-lei |
| |
| Affiliation: | ( College of Finance, Hebei University of Economics and Business, Shijiazhuang 050061, China) |
| |
| Abstract: | Index effect is an anomalous phenomenon in the securities market.It refers that the adjusting of the sample stocks will lead to these adjusted sample stocks have abnormal price and abnormal trading volume.This paper uses the methods of the event analysis,analyzes the abnormal returns rate and abnormal trading volume of each share,and gets the conclusion that the index effect notably exists based on the adjusted sample stocks of the Hushen 300 Index and the SSE 180 Index for studying sample.The behavioral fi... |
| |
| Keywords: | Index effect Behavioral finance Abnormal returns rate Abnormal trading volume |
| 本文献已被 CNKI 维普 万方数据 等数据库收录！ |
