上海管理科学2024，Vol.46Issue(1)：49-55,107,8.
被动资金视角下的A股指数效应与套利策略
Chinese A-Share Indexes Revision and Arbitrage Strategy Construction:from Evidence of Passive Index Fund Tracking
江林锴1
作者信息
- 1. 上海交通大学 上海高级金融学院,上海 200030
- 折叠
摘要
Abstract
Main focuses are the return effects of Chinese A-share indexes revisions and arbitrage strategy construction.With the investigation on the short-term effects of index revisions made by China main three A-share indexes on a sample of stocks since 2009,it is of significance to find the rising trend in the return of added stocks compared to deleted firms during the two-week window from the announcement of the index revision to the implementation day through basic statistic method.However,this trend is completely reversed after the revision is implemented.Through further regression,a possible explanation was obtained for this phenomenon from the early portfolio adjustment of passive funds.Results from empirical tests guide us form the trading strategy with high excess return based on the passive funds scale.关键词
指数调整效应/被动资金/套利策略Key words
index revision effect/passive indexing/arbitrage strategy分类
管理科学引用本文复制引用
江林锴..被动资金视角下的A股指数效应与套利策略[J].上海管理科学,2024,46(1):49-55,107,8.
