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Reexamination of Stock Price Index

股价指数复核

基本信息

批准号：
14330033
负责人：
HANAEDA Hideki
金额：
$ 5.95万
依托单位：
Hitotsubashi University
依托单位国家：
日本
项目类别：
Grant-in-Aid for Scientific Research (B)
财政年份：
2002
资助国家：
日本
起止时间：
2002 至 2003
项目状态：
已结题

来源：
https://kaken.nii.ac.jp/en/grant/KAKENHI-PROJECT-14330033/
关键词：
stock price index Nikkei 225 index Dow Jones Industrial Average Dow formula The Tokyo Stock Price Index (TOPIX)stock split corporate finance stock price 時価総額方式株価指数 MSCI株価指数 S＆P500

项目摘要

We studied the characteristics and problems of stock price index, particularly, the Dow Jones Average and market capitalization weighted index. We examined stock price nd volume effects associated with a change in the composition of the Nikkei 225 index in Japan in April 2000. Our results include the following : first, we show that newly added firms experience significant positive excess retums after the announcement of the change ; in contrast, deleted and remaining firms' retums are negatively affected ; second, volume tests show significant increase in trading activity after the announcement for both added and deleted firms ; third, cross-sectional analysis provides evidence that higher arbitrage risk and demand shocks increase the absolute value of excess retums. We did field research study using the responses from 3632 mail survey to examine managers thinking about stock ownership in Japan, First, we show that firms that undergo stock splits experience positive abnormal announcement returns. Second, average daily yen trading volume and average daily volume turnover decrease after ex-date of the stock split, suggesting that stock splits negatively affect liquidity. Third, we show that in Japan, stock splits alter the ownership structure of firms.

研究了股票价格指数的特点和存在的问题，特别是道琼斯平均指数和市值加权指数。我们研究了2000年4月日本日经225指数组成变化的股价和成交量效应。我们的研究结果包括：第一，我们发现，新增加的公司经历了显着的正超额收益后，宣布的变化，相反，删除和保留的公司的收益受到负面影响;第二，交易量测试显示，增加和删除的公司宣布后，交易活动显着增加;第三，横截面分析提供的证据表明，较高的套利风险和需求冲击增加了超额收益的绝对值。我们使用3632封邮件调查的回复进行了实地研究，以考察日本管理者对股票持有的看法。首先，我们表明，进行股票分割的公司经历了正的异常公告收益。第二，股票分割后，日元的日均交易量和日均成交量减少，这表明股票分割对流动性产生了负面影响。第三，我们表明，在日本，股票分割改变了企业的所有权结构。