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指数效应存在吗?——来自“沪深300”断点回归的证据
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TitleDo the Price Effects of Stock Market Index Exist?——New Evidence from HS300 with Regression Discontinuity  
作者姚东旻 张日升 李嘉晟  
AuthorYao Dongmin,Zhang Risheng and Li Jiasheng  
作者单位中央财经大学 
OrganizationCentral University of Finance and Economics 
作者Emailyaodongminn@163.com;maszrs@126.com;jansonleeljs@126.com 
中文关键词指数效应 自然实验 断点回归 双重差分 异常收益率分布 
Key WordsPrice Effects of Index ; Natural Experiment ; RD ; DID ; Distribution of Abnormal Rate of Return 
内容提要学界关于指数效应研究一直争论不断,尤其我国沪深300指数,文献中结论几乎完全相反,本文表明这些结论差异可能源自传统回归方法的缺陷。针对Beneish和Whaley(1996)称作“标普游戏”(套利)的指数效应,本文利用断点回归实验,验证了沪深300指数效应,并通过双重差分(DID)和异常收益率分布检验验证实验结果稳健性。沪深300指数成分每年按照市值排名高低调入调出指数,提供难得自然实验环境。排名断点的处置效应显著,调入股票相对其对照组(未调入指数的股票)出现了大约15%的正异常收益率,调出股票宣告日前相对于其对照组(保留在指数的股票)产生大约10%的超幅下跌,并在宣告日后第6天发生反转回复到宣告前水平,但是显著性不足,说明我国沪深300指数效应不具有对称性。 
AbstractArguments about price effects of index exist all the time, especially with Chinese HS300 index. While the conclusions are controversial, this paper finds out it might be caused by the method of estimating index effects. Beneish and Whaley (1996) argued that the index effects have become the S&P game (arbitrage game). We use regression discontinuity to examine the index effects and difference-in-difference model, together with distribution test of abnormal rate of return, as a robust test. The changing policy of HS300 offers an excellent natural experiment. Results suggest that the included stocks have an extra ARR about 15%, comparing with the control group. The excluded stocks have a negative ARR about 10% before announcement (comparing with control group), which reverse after the announcement. But the excluded price effect isn’t significant. The price effects of HS300 are asymmetrical. 
文章编号WP1132 
登载时间2016-11-22 
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