事件研究法检验市场有效性 - 图文

利用温州动车事件检验市场有效性（利用事件研究法）

一、选取样本和事件窗

在温州动车事故中，高铁概念股受到重创。以下分析选取天马股份（002122.SZ）作为样本，事件窗为【-4,4】，剔除周六、周日股市歇市期间的数据，利用事件研究法检验市场的有效性。

二、计算事件窗内各天的股票收益率和指数收益率

日期 7.18 7.19 7.20 7.21 7.22 7.25 7.26 7.27 7,28 7.29 股票收盘价 13.03 12.98 12.79 12.48 12.36 11.12 10.84 11.24 11.54 11.45 股票收益率Rit（%） 股票指数 指数收益率Rmt（%） ----- 12490.55 ----- -0.384 -1.464 -2.424 -0.962 -10.032 -2.518 3.690 2.669 -0.780 12381.46 12393.99 12301.41 12,352.50 11966.24 12008.53 12116.86 12,085.92 11990.43 -0.873 0.101 -0.747 0.415 -3.127 0.353 0.902 -0.255 -0.790 事件窗时期 -5 -4 -3 -2 -1 0 1 2 3 4 上表中：股票收益率Rit=(个股当天股价-个股前一天股价)/个股前一天股价

指数收益率Rmt=(当天股票指数-前一天股票指数)/前一天股票指数

三、计算β系数、正常收益率（AR）和累积异常收益率（CAR）

利用资本资产定价模型选取用事件窗起点日期前200天的天马股份的个股收益率（Y）和股票市场收益率(X)进行线性回归，求出β系数。（数据样本出自同花顺系统直接导入excel表格，详见末页附表）

通过对200天的数据进行excel函数数据分析，得出R^2=0.139842975,截距

=0.000892527（利用intercept函数，选择股票收益率和指数收益率），β=0.737891417（协方差/方差），其中方差利用VAR函数选择股票收益率的集合，协方差利用COVAR函数选择股票收益率的集合与指数收益率的集合。

回归方程为：Y=0.7379X+0.00089（其中Y指正常收益率，X指指数收益率） 异常收益率AR=实际收益率（Rit）-正常收益率（Y） 可以得出下表：

日期（2011年） 7.18 7.19 7.20 7.21 7.22 7.23 7.24 7.25 7.26 7.27 事件日期 股票收益率Rit -0.384% -1.464% -2.424% -0.962% 指数收益率Rmt -0.873% 0.101% -0.747% 0.415% 正常收益率 实际收益率 异常收益率AR 0.171% -1.628% -1.962% -1.358% 累积异常收益率CAR 0.171% -1.457% -3.419% -4.777% -12.590% -15.458% -12.523% -9.755% -10.041% -4 -3 -2 -1 0 1 2 3 4 -0.555% -0.38% 0.164% -1.46% -0.462% -2.42% 0.396% -0.96% -10.032% -3.127% -2.518% 3.690% 2.669% -0.780% 0.353% 0.902% -0.255% -0.790% -2.218% -10.03% -7.814% 0.350% 0.755% -2.52% 3.69% -2.868% 2.935% 2.768% -0.286% -0.099% 2.67% -0.494% -0.78% 四、绘制天马股份（002122.SZ）在事件窗【-4,4】的CAR坐标图

五、判断市场有效性

通过事件研究法得出的一系列数据以及累计异常收益率的坐标图来分析, 在温州动车事件发生之后，收益率急剧下跌，对市场坏消息过度反应，这说明市场比较强势有效；但是随着时间发展，累计异常收益率并没有很明显的回升趋势，说明市场不够强势有效，因此，总体上，市场呈现出弱势有效的形态。

附表：（计算回归方程时选取2010年9月15日至2011年7月18日的200天作为回归分析的样本基础），数据来自同花顺直接导入。 日期 股票指数 股票市场收益（Rmt） 个股股价 个股收益率（Rit） 2010-09-15 11,412.1010 10.94 2010-09-16 11,164.0210 -0.021738328 10.57 -3.38% 2010-09-17 11,208.2520 0.003961924 10.58 0.09% 2010-09-20 11,150.3290 -0.005167889 10.35 -2.17% 2010-09-21 11,210.7410 0.005417957 10.2 -1.45% 2010-09-27 11,409.8130 0.017757256 10.36 1.57% 2010-09-28 11,274.4850 -0.011860668 10.46 0.97% 2010-09-29 11,223.8620 -0.00449005 10.18 -2.68% 2010-09-30 11,468.5430 0.021800072 10.37 1.87% 2010-10-08 11,911.3690 0.038612228 10.67 2.89% 2010-10-11 12,237.6480 0.027392233 11.21 5.06% 2010-10-12 12,373.2790 0.011083094 11.08 -1.16% 2010-10-13 12,602.9950 0.018565491 11.49 3.70% 2010-10-14 12,507.7100 -0.007560504 11.17 -2.79% 2010-10-15 12,765.5010 0.020610567 12.29 10.03% 2010-10-18 12,649.2700 -0.009105087 13.52 10.01% 2010-10-19 12,970.1980 0.025371266 13.79 2.00% 2010-10-20 13,130.0120 0.012321631 14.1 2.25% 2010-10-21 13,111.5200 -0.001408376 14.26 1.13% 2010-10-22 13,224.9780 0.008653306 13.73 -3.72% 2010-10-25 13,734.1970 0.038504336 13.89 1.17% 2010-10-26 13,729.9630 -0.000308282 14.56 4.82% 2010-10-27 13,452.1710 -0.020232538 14.26 -2.06% 2010-10-28 13,445.0250 -0.000531215 14.87 4.28% 2010-10-29 13,367.2360 -0.005785709 14.74 -0.87% 2010-11-01 13,743.7710 0.028168501 14.97 1.56% 2010-11-02 13,646.4580 -0.007080517 14.39 -3.87% 2010-11-03 13,392.7000 -0.018595155 13.61 -5.42% 2010-11-04 13,595.7320 0.015159901 13.81 1.47% 2010-11-05 13,733.3570 0.010122662 13.94 0.94% 2010-11-08 2010-11-09 2010-11-10 2010-11-11 2010-11-12 2010-11-15 2010-11-16 2010-11-17 2010-11-18 2010-11-19 2010-11-22 2010-11-23 2010-11-24 2010-11-25 2010-11-26 2010-11-29 2010-11-30 2010-12-01 2010-12-02 2010-12-03 2010-12-06 2010-12-07 2010-12-08 2010-12-09 2010-12-10 2010-12-13 2010-12-14 2010-12-15 2010-12-16 2010-12-17 2010-12-20 2010-12-21 2010-12-22 2010-12-23 2010-12-24 2010-12-27 2010-12-28 2010-12-29 2010-12-30 2010-12-31 2011-01-04 2011-01-05 2011-01-06 13,807.2970 13,714.2880 13,705.6810 13,684.9390 12,726.5400 12,808.0940 12,217.2720 11,917.4940 12,146.1450 12,295.8490 12,303.5450 12,062.4090 12,407.6550 12,604.0840 12,539.0140 12,536.5510 12,336.2880 12,310.3840 12,409.0190 12,443.0000 12,422.7850 12,656.9970 12,615.4120 12,353.2660 12,460.4640 12,905.0240 12,926.6150 12,829.3640 12,795.6780 12,759.6000 12,557.5470 12,872.4460 12,766.9520 12,644.5750 12,556.8450 12,303.1880 12,063.8020 12,114.5640 12,138.8950 12,458.5520 12,714.5140 12,647.6290 12,599.6560 0.005383971 -0.006736221 -0.000627594 -0.001513387 -0.070033122 0.006408183 -0.046128799 -0.024537229 0.019186164 0.012325227 0.000625902 -0.019598904 0.028621646 0.015831275 -0.005162612 -0.000196427 -0.01597433 -0.002099821 0.008012341 0.002738411 -0.001624608 0.018853421 -0.003285534 -0.020779821 0.008677705 0.035677644 0.001673069 -0.007523315 -0.002625695 -0.002819546 -0.015835371 0.025076474 -0.008195334 -0.009585452 -0.006938153 -0.020200695 -0.019457233 0.004207795 0.002008409 0.026333287 0.020545084 -0.005260524 -0.003793043 14.31 14.42 14.14 14.3 13.5 13.58 12.61 12.23 12.4 12.99 12.94 12.47 13.18 13.16 12.97 12.97 12.7 12.9 12.95 13.13 12.75 12.75 14.03 14.3 13.99 14.31 14.66 14.19 14.03 14.43 15.05 14.81 14.44 13.81 13.56 13.28 12.61 12.97 13 13.26 13.85 14.12 14.01 2.65% 0.77% -1.94% 1.13% -5.59% 0.59% -7.14% -3.01% 1.39% 4.76% -0.38% -3.63% 5.69% -0.15% -1.44% 0.00% -2.08% 1.57% 0.39% 1.39% -2.89% 0.00% 10.04% 1.92% -2.17% 2.29% 2.45% -3.21% -1.13% 2.85% 4.30% -1.59% -2.50% -4.36% -1.81% -2.06% -5.05% 2.85% 0.23% 2.00% 4.45% 1.95% -0.78% 2011-01-07 2011-01-10 2011-01-11 2011-01-12 2011-01-13 2011-01-14 2011-01-17 2011-01-18 2011-01-19 2011-01-20 2011-01-21 2011-01-24 2011-01-25 2011-01-26 2011-01-27 2011-01-28 2011-01-31 2011-02-01 2011-02-09 2011-02-10 2011-02-11 2011-02-14 2011-02-15 2011-02-16 2011-02-17 2011-02-18 2011-02-21 2011-02-22 2011-02-23 2011-02-24 2011-02-25 2011-02-28 2011-03-01 2011-03-02 2011-03-03 2011-03-04 2011-03-07 2011-03-08 2011-03-09 2011-03-10 2011-03-11 2011-03-14 2011-03-15 12,573.9370 12,331.1580 12,385.1720 12,409.9780 12,423.3430 12,294.1650 11,734.6240 11,771.5880 12,066.5470 11,566.7400 11,639.9590 11,488.9170 11,446.3720 11,599.6710 11,795.3300 11,894.2270 11,994.6840 11,991.5120 11,807.9270 12,170.5120 12,292.4910 12,737.8040 12,711.5750 12,884.8700 12,788.3350 12,613.1120 12,872.4660 12,473.3310 12,492.7050 12,578.4260 12,633.8790 12,902.4350 12,948.7180 12,880.2660 12,698.1600 12,893.8420 13,140.8820 13,144.1820 13,158.2150 13,004.8550 12,848.0190 12,958.2920 12,705.3220 -0.002041246 -0.019308113 0.004380286 0.002002879 0.001076956 -0.010398006 -0.045512729 0.003149994 0.025056857 -0.04142088 0.006330133 -0.012976163 -0.003703134 0.013392803 0.016867634 0.00838442 0.008445862 -0.00026445 -0.015309579 0.030706914 0.010022504 0.036226425 -0.002059146 0.01363285 -0.007492121 -0.013701784 0.020562253 -0.031006879 0.001553234 0.006861684 0.00440858 0.021256813 0.003587152 -0.005286392 -0.014138373 0.015410264 0.019159534 0.000251125 0.001067621 -0.011655076 -0.012059804 0.00858288 -0.019521863 14.16 15 14.71 14.35 15 15.24 14.58 14.37 15.81 16.48 16.88 16.62 14.96 15.08 15.71 15.88 17 16.54 17.12 16.86 17.2 16.81 17.16 18.52 18.74 18.23 18.58 17.14 17.21 17.11 17.24 17.78 17.4 16.86 16.17 16.51 16.82 16.59 17.31 17.11 16.56 16.35 16.7 1.07% 5.93% -1.93% -2.45% 4.53% 1.60% -4.33% -1.44% 10.02% 4.24% 2.43% -1.54% -9.99% 0.80% 4.18% 1.08% 7.05% -2.71% 3.51% -1.52% 2.02% -2.27% 2.08% 7.93% 1.19% -2.72% 1.92% -7.75% 0.41% -0.58% 0.76% 3.13% -2.14% -3.10% -4.09% 2.10% 1.88% -1.37% 4.34% -1.16% -3.21% -1.27% 2.14%

2011-03-16 2011-03-17 2011-03-18 2011-03-21 2011-03-22 2011-03-23 2011-03-24 2011-03-25 2011-03-28 2011-03-29 2011-03-30 2011-03-31 2011-04-01 2011-04-06 2011-04-07 2011-04-08 2011-04-11 2011-04-12 2011-04-13 2011-04-14 2011-04-15 2011-04-18 2011-04-19 2011-04-20 2011-04-21 2011-04-22 2011-04-25 2011-04-26 2011-04-27 2011-04-28 2011-04-29 2011-05-03 2011-05-04 2011-05-05 2011-05-06 2011-05-09 2011-05-10 2011-05-11 2011-05-12 2011-05-13 2011-05-16 2011-05-17 2011-05-18 12,865.7540 12,650.6730 12,721.9910 12,643.7310 12,667.2630 12,845.5290 12,771.4550 12,942.0710 12,875.5170 12,677.6080 12,661.2160 12,562.9010 12,699.4170 12,740.8700 12,890.6550 13,036.2320 12,925.0460 12,902.2230 13,102.0830 12,991.9250 12,965.7460 13,001.3310 12,799.2410 12,753.8460 12,798.7510 12,708.4200 12,508.0090 12,448.4840 12,358.8820 12,149.2470 12,312.9910 12,423.4620 12,070.4050 12,085.9930 12,067.6090 12,125.0130 12,216.9400 12,202.6200 12,072.2080 12,156.6050 12,051.2410 12,128.4950 12,230.6890 0.012627149 -0.016717326 0.005637487 -0.006151553 0.001861159 0.014072969 -0.00576652 0.013359167 -0.005142454 -0.015370956 -0.001292988 -0.007765052 0.010866598 0.003264166 0.011756262 0.01129322 -0.008528998 -0.001765796 0.015490354 -0.008407671 -0.002015021 0.002744539 -0.015543793 -0.003546695 0.003520899 -0.007057798 -0.015769938 -0.004758951 -0.007197824 -0.016962295 0.013477708 0.008971906 -0.028418568 0.001291423 -0.0015211 0.004756866 0.0075816 -0.001172143 -0.010687213 0.006991016 -0.008667222 0.00641046 0.008425942 16.82 16.85 16.53 16.56 16.28 16.33 16.12 16.2 16.74 16.55 15.48 15.03 15.34 15.28 15.61 15.62 15.51 15.2 15.5 15.29 15.38 15.3 14.49 14.38 14.13 14.29 14.35 13.95 13.27 13.51 13.41 13.08 12.98 13.15 13.47 13.51 13.54 13 13.19 13.22 13.19 13.17 13.09 0.72% 0.18% -1.90% 0.18% -1.69% 0.31% -1.29% 0.50% 3.33% -1.14% -6.47% -2.91% 2.06% -0.39% 2.16% 0.06% -0.70% -2.00% 1.97% -1.35% 0.59% -0.52% -5.29% -0.76% -1.74% 1.13% 0.42% -2.79% -4.87% 1.81% -0.74% -2.46% -0.76% 1.31% 2.43% 0.30% 0.22% -3.99% 1.46% 0.23% -0.23% -0.15% -0.61% 2011-05-19 2011-05-20 2011-05-23 2011-05-24 2011-05-25 2011-05-26 2011-05-27 2011-05-30 2011-05-31 2011-06-01 2011-06-02 2011-06-03 2011-06-07 2011-06-08 2011-06-09 2011-06-10 2011-06-13 2011-06-14 2011-06-15 2011-06-16 2011-06-17 2011-06-20 2011-06-21 2011-06-22 2011-06-23 2011-06-24 2011-06-27 2011-06-28 2011-06-29 2011-06-30 2011-07-01 2011-07-04 2011-07-05 2011-07-06 2011-07-07 2011-07-08 2011-07-11 2011-07-12 2011-07-13 2011-07-14 2011-07-15 2011-07-18 12,158.1120 12,161.0260 11,742.1860 11,749.9240 11,615.4160 11,530.7000 11,492.7120 11,478.2060 11,665.1410 11,699.8270 11,506.5210 11,642.4010 11,741.2590 11,761.1030 11,513.2030 11,593.3790 11,521.9840 11,732.0360 11,615.9690 11,435.9870 11,409.1570 11,328.6700 11,509.9820 11,543.6540 11,775.3170 11,996.0800 12,026.2930 12,047.0900 11,913.2010 12,110.9310 12,178.0830 12,441.1680 12,440.3700 12,425.6800 12,392.9270 12,404.3410 12,438.5640 12,268.1880 12,479.1540 12,440.8290 12,506.9360 12,490.5500 -0.005934007 0.000239675 -0.034441173 0.000658991 -0.011447563 -0.007293411 -0.003294509 -0.001262191 0.016286082 0.002973475 -0.016522125 0.011808956 0.008491204 0.001690108 -0.021077955 0.006963831 -0.006158256 0.018230541 -0.009893168 -0.01549436 -0.002346103 -0.007054597 0.016004703 0.002925461 0.020068429 0.018747945 0.002518573 0.001729294 -0.011113804 0.016597554 0.005544743 0.021603154 -6.41419E-05 -0.001180833 -0.002635912 0.000921009 0.002758953 -0.013697401 0.017196183 -0.003071122 0.005313713 -0.001310153 12.94 12.35 12.26 12.57 12.37 12.21 11.99 12.35 12.4 12.53 12.62 12.64 12.83 12.32 12.3 12.42 12.72 12.53 12.26 12.06 12.05 12.15 11.99 12.16 12.56 12.79 12.84 12.69 12.8 12.75 13 12.98 13.05 13.24 13.07 12.9 12.43 12.66 12.61 12.75 13.03 12.98 -1.15% -4.56% -0.73% 2.53% -1.59% -1.29% -1.80% 3.00% 0.40% 1.05% 0.72% 0.16% 1.50% -3.98% -0.16% 0.98% 2.42% -1.49% -2.15% -1.63% -0.08% 0.83% -1.32% 1.42% 3.29% 1.83% 0.39% -1.17% 0.87% -0.39% 1.96% -0.15% 0.54% 1.46% -1.28% -1.30% -3.64% 1.85% -0.39% 1.11% 2.20% -0.38%

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