CAJ | 학술논문

本文通过回顾指数化投资模式的产生、发展与争议，探讨以我国A股市场上市公司的会计信息编制基本面指数，并采用历史数据进行投资回测检验。我们发现，该基本面指数在A股市场具有与海外市场基本一致的特征。此例说明，研究开发一些适合我国资本市场发展阶段的可投资的策略性指数产品，有利于增加市场的长线投资需求，引导多种投资理念，培养多元投资方式，改进市场对风险定价的效率，这也是我国证券市场建设成长乃至国际化的一条重要路径。
본문통과회고지수화투자모식적산생、발전여쟁의，탐토이아국A고시장상시공사적회계신식편제기본면지수，병채용역사수거진행투자회측검험。아문발현，해기본면지수재A고시장구유여해외시장기본일치적특정。차례설명，연구개발일사괄합아국자본시장발전계단적가투자적책략성지수산품，유리우증가시장적장선투자수구，인도다충투자이념，배양다원투자방식，개진시장대풍험정개적효솔，저야시아국증권시장건설성장내지국제화적일조중요로경。
This article revie ws the in itiation, development and disputes about index investing. Following Fundamental Index approach, we select stocks listed in China A Share market to build equity indices based on company ’s financial accounting data. We conduct back-test using historical data going back to 2005, and compared the simulation result to that of a cap-weighted benchmark index. We find consistent outperformance of these fundamental weighted indices over standard cap-weighted indices. We believe that customizing strategic indexing products based on current Chinese market characteristics would help drive long-term investment demand, induce diversified investment strategies, and improve the efficiency of risk pricing. Such development would also help the China security market move toward a more open internationalized capital market.