事件研究法檢驗市場有效性解答

1、利用溫州動車事件檢驗市場有效性（利用事件研究法）002122.SZ )作為一、選取樣本和事件窗在溫州動車事故中，高鐵概念股受到重創(chuàng)。以下分析選取天馬股份（ 樣本，事件窗為【-4,4】，剔除周六、周日股市歇市期間的數(shù)據(jù)，利用事件研究法檢驗市場 的有效性。二、計算事件窗內(nèi)各天的股票收益率和指數(shù)收益率日期股票收盤股票收益率Rt （%）股票指數(shù)指數(shù)收益率事件窗時期1價Rnt ( % )7.1813.03 112490.557.1912.98 1-0.384112381.46-0.873 |a7.2012.79 1-1.464|12393.99|0.101|1-37.2112.48-2.42412301

2、.41-0.747|07.2212.36-0.96212,352.50|0.415 |07.2511.12 1-10.032 1|11966.24-3.127 |07.2610.84-2.51812008.530.353 177.2711.24|3.69012116.860.90227,2811.54 |2.669|12,085.92-0.255 |37.2911.45-0.780111990.43-0.790|1上表中：股票收益率Rt=（個股當(dāng)天股價-個股前一天股價）/個股前一天股價指數(shù)收益率Rmt=（當(dāng)天股票指數(shù)-前一天股票指數(shù)）/前一天股票指數(shù)三、計算P系數(shù)、正常收益率（AR）和累積異常

3、收益率（CAR）利用資本資產(chǎn)定價模型選取用事件窗起點日期前200天的天馬股份的個股收益率（Y）和股票市場收益率（X）進行線性回歸，求出B系數(shù)。（數(shù)據(jù)樣本出自同花順系統(tǒng)直接導(dǎo)入excel表格，詳見末頁附表）通過對 200天的數(shù)據(jù)進行excel函數(shù)數(shù)據(jù)分析，得出R2= 0.139842975,截距 =0.000892527 （利用intercept 函數(shù)，選擇股票收益率和指數(shù)收益率），卩=0.737891417（協(xié)方差/方差），其中方差利用 VAR函數(shù)選擇股票收益率的集合，協(xié)方差利用COVAR函數(shù)選擇股票收益率的集合與指數(shù)收益率的集合?；貧w方程為：Y=0.7379X+0.00089 （其中Y指正常

4、收益率，X指指數(shù)收益率）異常收益率AR=際收益率（Rit ）-正常收益率（Y）可以得出下表:日期（2011年）事件日期股票收益率Rit指數(shù)收益率Rmt正常收益率實際收益率異常收益率AR累積異常 收益率CAR7.187.19-4-0.384%-0.873%-0.555%-0.38%0.171%0.171%7.20-3-1.464%0.101%0.164%-1.46%-1.628%-1.457%7.21-2-2.424%-0.747%-0.462%-2.42%-1.962%-3.419%7.22-1-0.962%0.415%0.396%-0.96%-1.358%-4.777%7.230-10.03

5、2%-3.127%-2.218%-10.03%-7.814%-12.590%7.241-2.518%0.353%0.350%-2.52%-2.868%-15.458%7.2523.690%0.902%0.755%3.69%2.935%-12.523%7.2632.669%-0.255%-0.099%2.67%2.768%-9.755%7.274-0.780%-0.790%-0.494%-0.78%-0.286%-10.041%四、繪制天馬股份（002122.SZ ）在事件窗【-4,4】的CAR坐標(biāo)圖-51鋼川攵證幸隻化巴-療陽-10. 00CW事件口.潮-6象訂 準(zhǔn)徹收苗率（CAR）-20.0

6、0%,在溫州動車五、判斷市場有效性通過事件研究法得出的一系列數(shù)據(jù)以及累計異常收益率的坐標(biāo)圖來分析事件發(fā)生之后，收益率急劇下跌，對市場壞消息過度反應(yīng)， 這說明市場比較強勢有效； 但是隨著時間發(fā)展，累計異常收益率并沒有很明顯的回升趨勢，說明市場不夠強勢有效，因此,總體上，市場呈現(xiàn)出弱勢有效的形態(tài)。附表：（計算回歸方程時選取 2010年9月15日至2011年7月18日的200天作為回歸分 析的樣本基礎(chǔ)），數(shù)據(jù)來自同花順直接導(dǎo)入。=日期股票指數(shù)股票市場收益（Rmt）個股股價個股收益率（Rit）2010-09-1511,412.101010.942010-09-1611,164.0210-0.02173

7、832810.57-3.38%2010-09-1711,208.25200.00396192410.580.09%2010-09-2011,150.3290-0.00516788910.35-2.17%2010-09-2111,210.74100.00541795710.2-1.45%2010-09-2711,409.81300.01775725610.361.57%2010-09-2811,274.4850-0.01186066810.460.97%2010-09-2911,223.8620-0.0044900510.18-2.68%2010-09-3011,468.54300.021800

8、07210.371.87%2010-10-0811,911.36900.03861222810.672.89%2010-10-1112,237.64800.02739223311.215.06%2010-10-1212,373.27900.01108309411.08-1.16%2010-10-1312,602.99500.01856549111.493.70%2010-10-1412,507.7100-0.00756050411.17-2.79%2010-10-1512,765.50100.02061056712.2910.03%2010-10-1812,649.2700-0.0091050

9、8713.5210.01%2010-10-1912,970.19800.02537126613.792.00%2010-10-2013,130.01200.01232163114.12.25%2010-10-2113,111.5200-0.00140837614.261.13%2010-10-2213,224.97800.00865330613.73-3.72%2010-10-2513,734.19700.03850433613.891.17%2010-10-2613,729.9630-0.00030828214.564.82%2010-10-2713,452.1710-0.020232538

10、14.26-2.06%2010-10-2813,445.0250-0.00053121514.874.28%2010-10-2913,367.2360-0.00578570914.74-0.87%2010-11-0113,743.77100.02816850114.971.56%2010-11-0213,646.4580-0.00708051714.39-3.87%2010-11-0313,392.7000-0.01859515513.61-5.42%2010-11-0413,595.73200.01515990113.811.47%2010-11-0513,733.35700.0101226

11、6213.940.94%2010-11-0813,807.29700.00538397114.312.65%2010-11-0913,714.2880-0.00673622114.420.77%2010-11-1013,705.6810-0.00062759414.14-1.94%2010-11-1113,684.9390-0.00151338714.31.13%2010-11-1212,726.5400-0.07003312213.5-5.59%2010-11-1512,808.09400.00640818313.580.59%2010-11-1612,217.2720-0.04612879

12、912.61-7.14%2010-11-1711,917.4940-0.02453722912.23-3.01%2010-11-1812,146.14500.01918616412.41.39%2010-11-1912,295.84900.01232522712.994.76%2010-11-2212,303.54500.00062590212.94-0.38%2010-11-2312,062.4090-0.01959890412.47-3.63%2010-11-2412,407.65500.02862164613.185.69%2010-11-2512,604.08400.015831275

13、13.16-0.15%2010-11-2612,539.0140-0.00516261212.97-1.44%2010-11-2912,536.5510-0.00019642712.970.00%2010-11-3012,336.2880-0.0159743312.7-2.08%2010-12-0112,310.3840-0.00209982112.91.57%2010-12-0212,409.01900.00801234112.950.39%2010-12-0312,443.00000.00273841113.131.39%2010-12-0612,422.7850-0.0016246081

14、2.75-2.89%2010-12-0712,656.99700.01885342112.750.00%2010-12-0812,615.4120-0.00328553414.0310.04%2010-12-0912,353.2660-0.02077982114.31.92%2010-12-1012,460.46400.00867770513.99-2.17%2010-12-1312,905.02400.03567764414.312.29%2010-12-1412,926.61500.00167306914.662.45%2010-12-1512,829.3640-0.00752331514

15、.19-3.21%2010-12-1612,795.6780-0.00262569514.03-1.13%2010-12-1712,759.6000-0.00281954614.432.85%2010-12-2012,557.5470-0.01583537115.054.30%2010-12-2112,872.44600.02507647414.81-1.59%2010-12-2212,766.9520-0.00819533414.44-2.50%2010-12-2312,644.5750-0.00958545213.81-4.36%2010-12-2412,556.8450-0.006938

16、15313.56-1.81%2010-12-2712,303.1880-0.02020069513.28-2.06%2010-12-2812,063.8020-0.01945723312.61-5.05%2010-12-2912,114.56400.00420779512.972.85%2010-12-3012,138.89500.002008409130.23%2010-12-3112,458.55200.02633328713.262.00%2011-01-0412,714.51400.02054508413.854.45%2011-01-0512,647.6290-0.005260524

17、14.121.95%2011-01-0612,599.6560-0.00379304314.01-0.78%2011-01-0712,573.9370-0.00204124614.161.07%2011-01-1012,331.1580-0.019308113155.93%2011-01-1112,385.17200.00438028614.71-1.93%2011-01-1212,409.97800.00200287914.35-2.45%2011-01-1312,423.34300.001076956154.53%2011-01-1412,294.1650-0.01039800615.24

18、1.60%2011-01-1711,734.6240-0.04551272914.58-4.33%2011-01-1811,771.58800.00314999414.37-1.44%2011-01-1912,066.54700.02505685715.8110.02%2011-01-2011,566.7400-0.0414208816.484.24%2011-01-2111,639.95900.00633013316.882.43%2011-01-2411,488.9170-0.01297616316.62-1.54%2011-01-2511,446.3720-0.00370313414.9

19、6-9.99%2011-01-2611,599.67100.01339280315.080.80%2011-01-2711,795.33000.01686763415.714.18%2011-01-2811,894.22700.0083844215.881.08%2011-01-3111,994.68400.008445862177.05%2011-02-0111,991.5120-0.0002644516.54-2.71%2011-02-0911,807.9270-0.01530957917.123.51%2011-02-1012,170.51200.03070691416.86-1.52%

20、2011-02-1112,292.49100.01002250417.22.02%2011-02-1412,737.80400.03622642516.81-2.27%2011-02-1512,711.5750-0.00205914617.162.08%2011-02-1612,884.87000.0136328518.527.93%2011-02-1712,788.3350-0.00749212118.741.19%2011-02-1812,613.1120-0.01370178418.23-2.72%2011-02-2112,872.46600.02056225318.581.92%201

21、1-02-2212,473.3310-0.03100687917.14-7.75%2011-02-2312,492.70500.00155323417.210.41%2011-02-2412,578.42600.00686168417.11-0.58%2011-02-2512,633.87900.0044085817.240.76%2011-02-2812,902.43500.02125681317.783.13%2011-03-0112,948.71800.00358715217.4-2.14%2011-03-0212,880.2660-0.00528639216.86-3.10%2011-

22、03-0312,698.1600-0.01413837316.17-4.09%2011-03-0412,893.84200.01541026416.512.10%2011-03-0713,140.88200.01915953416.821.88%2011-03-0813,144.18200.00025112516.59-1.37%2011-03-0913,158.21500.00106762117.314.34%2011-03-1013,004.8550-0.01165507617.11-1.16%2011-03-1112,848.0190-0.01205980416.56-3.21%2011

23、-03-1412,958.29200.0085828816.35-1.27%2011-03-1512,705.3220-0.01952186316.72.14%2011-03-1612,865.75400.01262714916.820.72%2011-03-1712,650.6730-0.01671732616.850.18%2011-03-1812,721.99100.00563748716.53-1.90%2011-03-2112,643.7310-0.00615155316.560.18%2011-03-2212,667.26300.00186115916.28-1.69%2011-0

24、3-2312,845.52900.01407296916.330.31%2011-03-2412,771.4550-0.0057665216.12-1.29%2011-03-2512,942.07100.01335916716.20.50%2011-03-2812,875.5170-0.00514245416.743.33%2011-03-2912,677.6080-0.01537095616.55-1.14%2011-03-3012,661.2160-0.00129298815.48-6.47%2011-03-3112,562.9010-0.00776505215.03-2.91%2011-

25、04-0112,699.41700.01086659815.342.06%2011-04-0612,740.87000.00326416615.28-0.39%2011-04-0712,890.65500.01175626215.612.16%2011-04-0813,036.23200.0112932215.620.06%2011-04-1112,925.0460-0.00852899815.51-0.70%2011-04-1212,902.2230-0.00176579615.2-2.00%2011-04-1313,102.08300.01549035415.51.97%2011-04-1

26、412,991.9250-0.00840767115.29-1.35%2011-04-1512,965.7460-0.00201502115.380.59%2011-04-1813,001.33100.00274453915.3-0.52%2011-04-1912,799.2410-0.01554379314.49-5.29%2011-04-2012,753.8460-0.00354669514.38-0.76%2011-04-2112,798.75100.00352089914.13-1.74%2011-04-2212,708.4200-0.00705779814.291.13%2011-0

27、4-2512,508.0090-0.01576993814.350.42%2011-04-2612,448.4840-0.00475895113.95-2.79%2011-04-2712,358.8820-0.00719782413.27-4.87%2011-04-2812,149.2470-0.01696229513.511.81%2011-04-2912,312.99100.01347770813.41-0.74%2011-05-0312,423.46200.00897190613.08-2.46%2011-05-0412,070.4050-0.02841856812.98-0.76%20

28、11-05-0512,085.99300.00129142313.151.31%2011-05-0612,067.6090-0.001521113.472.43%2011-05-0912,125.01300.00475686613.510.30%2011-05-1012,216.94000.007581613.540.22%2011-05-1112,202.6200-0.00117214313-3.99%2011-05-1212,072.2080-0.01068721313.191.46%2011-05-1312,156.60500.00699101613.220.23%2011-05-161

29、2,051.2410-0.00866722213.19-0.23%2011-05-1712,128.49500.0064104613.17-0.15%2011-05-1812,230.68900.00842594213.09-0.61%2011-05-1912,158.1120-0.00593400712.94-1.15%2011-05-2012,161.02600.00023967512.35-4.56%2011-05-2311,742.1860-0.03444117312.26-0.73%2011-05-2411,749.92400.00065899112.572.53%2011-05-2

30、511,615.4160-0.01144756312.37-1.59%2011-05-2611,530.7000-0.00729341112.21-1.29%2011-05-2711,492.7120-0.00329450911.99-1.80%2011-05-3011,478.2060-0.00126219112.353.00%2011-05-3111,665.14100.01628608212.40.40%2011-06-0111,699.82700.00297347512.531.05%2011-06-0211,506.5210-0.01652212512.620.72%2011-06-0311,642.40100.01180895612.640.16%2011-06-0711,741.25900.00849120412.831.50%2011-06-0811,761.10300.00169010812.32-3.98%2011-06-0911,513.2030-0.02107795512.3-0.16%2011-06-1011,593.37900.00696383112.420.98%2011-06-1311,521.9840-0.00615825612.722.42%2011-06-1411,732.03600.01823054112.53