【作者】 骆利娟；

【导师】 李腊生；

【作者基本信息】 天津财经大学 ， 统计学， 2010， 硕士

【摘要】 股票指数存在的意义是为了用股票价格平均值的变化来反映整个股票市场的总体变动趋势,刻画市场系统风险,并间接作为国民经济晴雨表的指示器。使得人们可以根据股票指数的涨跌对股市的走势做出合理预期,确定投资策略。但是目前大部分普通投资者所参考的上证综合指数的“失真“现象越来越严重,“二八现象”、“只赚指数不赚钱”都说明了上证综指的投资参考价值已经越来越小。由于我国股市所存在的新股不败神话。所以,新股上市首日的高开往往会带来股指的虚增。上证综指的“失真”一方面会误导投资者的技术分析,使其做出偏离事实甚至是错误的决定；另一方面,指数失真严重会误导市场监管,甚至误导政府决策。所以对上证综合指数进行修正是很有现实意义的。对于上证综指来说,因为编制对象是所有在上海证券交易所上市的股票,所以不存在样本股的选择问题。股票指数的计算可以分为几方面：个股权数的设置、基数的选择、新股上市计入方式、新股上市计入日期。因为已有的研究大都集中在权数的设置上,权数的确定已有各种相应成果可资借鉴,因此,重点在于探讨新股上市的指数计入方式,以及综合指数的系统调整方案,并以此来对上证综合指数进行修正,以期使修正后的综合指数能更准确地反映市场变化特征。针对上证综指计算方法的局限性及其缺陷,从新股计入综指的时点选择、计入方法、有关价格与指数对应关系、可变样本权数调整等方面对上证综合指数的编制方法进行了探讨,提出了调整上证综合指数的系统解决方案,并选取2009年9月14日至2010年4月9日的样本股为对象,利用调整后的计算方法重新编制或修正了现有的上证综合指数,通过对修正后的新上证综合指数与原先的上证综指进行比较,发现修正后的上证综合指数编制方法能够更合理地反映股市的真实走势。更多还原

【Abstract】 Stock index is used to reflect the overall stock market trends, characterize the system risk of stock market, and indirectly as an indicator of national economic situation. As a consequence,it helps to expect reasonably the stock index and determine the investment strategy.But now the "distortion" phenomenon of Shanghai Composite Index has become more and more serious, which is reported by many published and referred as the "phenomenon of two-eight" and "good index performance does not mean making money". In this situation, the Shanghai Composite index doesn’t fully characterize market any more. Thus, IPO’first day often bring an inflated index. On the one hand, the distortion of the Shanghai Composite Index will mislead the technical analysis of investors to make a deflected or even wrong decision. On the other hand, index distortion will seriously misguide the market supervision, or even mislead the decision of the economic policies.Therefore, it is so significant to amend the calculation of the Shanghai Composite Index.The amending of Shanghai Composite Index is nothing to the choice of sample,just because it’s listed on all the stocks in Shanghai stock exchange market. There are several aspects to calculate the index:the weight set up, methods included in IPO, the date IPO included. Just because most studies have focused on the weight’s setting,and the corresponding references can be mirrored. therefore, this article is to discuss in what way the new shares listed index, and the system adjustment solution of composite index. On the base, we amend the Shanghai Composite Index with a view to revised composite index to more accurately reflect changes of equity market characteristics.In connection with the limitations and deficiency of Shanghai Stock Index, this article discussed the presentation of Shanghai Composite Index from such points as fllowing:when and how the new shares to be included in, how to connect the price and index, and how to adjust the weights of variable samples.On the base, this article puts forward a new adjusted systemic solution, with time sery samples from Jul 14,2009 to Apr 2 2010 to validate. Compared with the original Shanghai Composite Index, the amended method of this paper is better to reflect the real trend of the stock market.更多还原