CAJ | 학술논문

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%。
통과운용사건연구법,대호심300역사11차조정성빈고진행실증검험발현,조입지수고표재공고일화조정일부근균불존재개격효응,조출지수고표재조정일전후출현현저적이상수익,단수후출현수익반전,즉지수조정효응시단기적。재조출고표존재단기개격효응적조건하,이2010년7월호심300지수조정위사건,재조정일후9개교역일내,이용고지기화화조출고표등권조합진행사건투리,투리수익위2.91%。
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%.