| 沪深股市指数效应的行为金融学解释 |
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| 引用本文： | 封文丽,刘晓磊.沪深股市指数效应的行为金融学解释[J].昆明理工大学学报(社会科学),2008,8(8):34-38. |
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| 作者姓名： | 封文丽 刘晓磊 |
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| 作者单位： | 河北经贸大学金融学院; |
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| 摘 要： | 指数效应是证券市场的一个异常现象。文章利用事件分析方法,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的结论,并用行为金融理论解释其成因。最后提出指数效应的应用、保护中小投资者和完善监管方面的建议。
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| 关 键 词： | 指数效应 行为金融学 异常收益率 异常成交量 |
A Study on the Shanghai-Shenzhen Stock Market's Index Effect from the Perspective of Behavioral Finance |
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| FENG Wen-li,LIU Xiao-lei.A Study on the Shanghai-Shenzhen Stock Market''s Index Effect from the Perspective of Behavioral Finance[J].Journal of Kunming University of Science and Technology(Social Sciences),2008,8(8):34-38. |
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| Authors: | FENG Wen-li LIU Xiao-lei |
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| Affiliation: | (College of Finance,Hebei University of Economics and Business,Shijiazhuang,Hebei 050061,China) |
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| Abstract: | Index Effect is an anomalous phenomenon in the securities market.This paper,using the meth- ods of the event analysis,analyzes the abnormal returns rate and abnormal trading volume of each share,and draws the conclusion that the Index Effect notably exists,which is based on the adjusted sample stocks of the Shanghai -Shenzhen Stock Market's 300 Index and the SSE 180 Index for studying sample.The behavioral fi- nance theory can explain the case rationally.Finally this paper puts forward some suggestions in t... |
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| Keywords: | Index Effect behavioral finance abnormal returns rate abnormal trading volume |
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