中南大学学报：社会科学版
中南大學學報：社會科學版
중남대학학보：사회과학판
Journal of Central South Huiversity: Social Science
2015年
1期
111~118
,共null页
同步性 沪深300指数 股指期货 贝塔 投资者情绪
同步性 滬深300指數 股指期貨 貝塔 投資者情緒
동보성 호심300지수 고지기화 패탑 투자자정서
co-movement; SHSE-SZSE300 index; stock index future; beta; investor sentiment
对2005-2012 年间调入沪深300 指数股票样本进行分析,实证发现股票与指数成分股的同步性在加入指数后出现上升,并且在金融危机时期和沪深300 股指期货成立后调入股票的同步性上升现象更为显著.这一结果与基于情绪的同步性理论预期相一致.进一步实证发现,调入股票的同步性上升现象与股票在调入后换手率的变化无关,文章的结果不支持非交易假说.此外,信息效应在股指期货成立后效果更加明显,因而信息扩散理论可以部分解释调入股票同步性的变化现象.
對2005-2012 年間調入滬深300 指數股票樣本進行分析,實證髮現股票與指數成分股的同步性在加入指數後齣現上升,併且在金融危機時期和滬深300 股指期貨成立後調入股票的同步性上升現象更為顯著.這一結果與基于情緒的同步性理論預期相一緻.進一步實證髮現,調入股票的同步性上升現象與股票在調入後換手率的變化無關,文章的結果不支持非交易假說.此外,信息效應在股指期貨成立後效果更加明顯,因而信息擴散理論可以部分解釋調入股票同步性的變化現象.
대2005-2012 년간조입호심300 지수고표양본진행분석,실증발현고표여지수성분고적동보성재가입지수후출현상승,병차재금융위궤시기화호심300 고지기화성립후조입고표적동보성상승현상경위현저.저일결과여기우정서적동보성이론예기상일치.진일보실증발현,조입고표적동보성상승현상여고표재조입후환수솔적변화무관,문장적결과불지지비교역가설.차외,신식효응재고지기화성립후효과경가명현,인이신식확산이론가이부분해석조입고표동보성적변화현상.
In this paper, the authors analyze the stock samples added into Shanghai and Shenzhen 300 index（SHSE-SZSE300） during 2005-2011. The results empirically reveal an increase of co-movement between added stockand index constituents after the index replacements, and show that, such phenomenon has been notable in the recentfinancial crisis and after the introduction of the SHSE-SZSE300 index futures. These findings are consistent with theexpectations of sentiment-based co-movement theory. Further specific studies suggest that, after the index replacement,the enhancement of co-movement is independent of the changes in added stock turnover. Therefore, it can be concludedthat the results of this paper cannot easily be explained by the non-trading hypothesis. In addition, the effect ofinformation reaction on added stocks is obviously increased after the introduction of the SHSE-SZSE300 index futures.So the co-movement phenomenon could be partly explained by the information diffusion theory.
