沪深300指数调整效应的理论分析和实证的研究.pdfVIP

Abstract Theindexeffect asthe effectof andvolumeofthestocks iSdefinedabnormalmarket price added intoanddeletedfromanindexwhenthe its stocks a index adjustssample timely．Itproposeschallenge for totheefficientmarket isall eventsnot thestockmarket hypothesis．Itimportant only operating andthe the the mechanismStockmarket alsofor of effectivenessof study participants’behavior．but thestockmarket．This the for the events event paperadopts studymethodologyresearchingadjustment ofCSl300from 2009toOctober201 eventwindowwereclassifiedas February 1．Respectively，the for beforeandafterADandEDforthe threeeconometricmodels research，and apply analyzing abnormal verifiesthe oftheindexeffectofChinasstockmarket． reRlrns，itultimately presence The resultsareas of abnormalreturnsofthe terms effect：First,the empirical price following：In addedordeletedstocksarc or to thatsome significantlypositivenegativepriorAD，indicating into investorshave theindex stocksaddedCSl300