事件研究法检验市场有效性

2023年12月14日发(作者：小学语文4年级)

-

运用温州动车事件检查市场有效性（运用事件研究法）

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（）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，运用事件研究法检查市场的有效性。

、计算事件窗内各天的股票收益率和指数收益率

日期

股票收盘价

股票收益率Ri（% ）

股票指数

指数收益率

（% ）

R事件窗时期

mt

7.18

7.19

7.20

7.21

7.22

7.25

7.26

7.27

7,28

7.29

13.03

12.98

12.79

12.48

12.36

11.12

10.84

11.24

11.54

11.45

-0.384

-1.464

-2.424

-0.962

-10.032

-2.518

3.690

2.669

-0.780

12490.55

12381.46

12393.99

12301.41

12,352.50

11966.24

12023.53

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

-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0系数、正常收益率（AR ）和累积异常收益率（CAR ）

运用资本资产定价模型选取用事件窗起点日期前2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。系数。（数据样本出自同花顺系统直接导入exce l表格，详见末页附表）

通过对2天的数据进行excel函数数据分析，得出R2=

0.,截距=0.（运用intercept函数，选择股A票收益率和指数收益率），0=0.（协方差/方差），其中方差运用VAR函数选择股票收益率的集合，协方差运用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=o. 7379X+0. 089 （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

（2023

事件日期

年）

股票收益

率Rit

指数收益

率Rmt

正常收益率

实际收益率

异常收益

率AR

累积异常收益率CAR

7.18

7.19

7.20

7.21

7.22

7.23

7.24

7.25

7.26

7.27

-4

-3

-2

-1

0

1

2

3

4

-0.384%

-1.464%

-2.424%

-0.962%

-0.873%

0.101%

-0.747%

0.415%

-0.555%

0.164%

-0.462%

0.396%

-2.218%

0.350%

0.755%

-0.099%

-0.494%

-0.38%

-1.46%

-2.42%

-0.96%

0.171%

-1.628%

-1.962%

-1.358%

0.171%

-1.457%

-3.419%

-4.777%

-12.590%

-15.458%

-12.523%

-9.755%

-10.041%

-10.032% -3.127%

-2.518%

3.690%

2.669%

-0.780%

0.353%

0.902%

-0.255%

-0.790%

-10.03% -7.814%

-2.52%

3.69%

2.67%

-0.78%

-2.868%

2.935%

2.768%

-0.286%

四、绘制天马股份（ ）在事件窗【-4,4】的CAR坐标图

n颔收率变化趋鹑图

J 0. COOI1

事杵曰明

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映，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2023年9月15日至2023年7月18日的2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

2023-09-15

2023-09-16

2023-09-17

2023-09-20

2023-09-21

2023-09-27

2023-09-28

2023-09-29

2023-09-30

2023-10-08

2023-10-11

2023-10-12

2023-10-13

2023-10-14

2023-10-15

2023-10-18

2023-10-19

股票指数

11,412.1010

11,164.0210

11,208.2520

11,150.3290

11,210.7410

11,409.8130

11,274.4850

11,223.8620

11,468.5430

11,911.3690

12,237.6480

12,373.2790

12,602.9950

12,507.71

12,765.5010

12,649.27

12,970.1980

13,130.0120

13,111.52

13,224.9780

13,734.1970

13,729.9630

13,452.1710

13,445.0250

13,367.2360

13,743.7710

13,646.4580

13,392.70

13,595.7320

股票市场收益（Rmt）

个股股价

10.94

-0.

0.

-0.

0.

0.

-0.

-0.4495

0.

0.

0.

0.

0.

-0.

0.

-0.

0.

0.

-0.

0.

0.

-0.

-0.

-0.

-0.

0.

-0.

-0.

0.

10.57

10.58

10.35

10.2

10.36

10.46

10.18

10.37

10.67

11.21

11.08

11.49

11.17

12.29

13.52

13.79

14.1

14.26

13.73

13.89

14.56

14.26

14.87

14.74

14.97

14.39

13.61

13.81

个股收益率（Rit）

-3.38%

0.09%

-2.17%

-1.45%

1.57%

0.97%

-2.68%

1.87%

2.89%

5.06%

-1.16%

3.70%

-2.79%

10.03%

10.01%

2.%

225%

.

113%

.

-3. 72%

117%

.

482%

.

06% -2.

428%

.

87% -0.

156%

.

-3. 87%

-5. 42%

147%

.

2023-10-20

2023-10-21

2023-10-22

2023-10-25

2023-10-26

2023-10-27

2023-10-28

2023-10-29

2023-11-01

2023-11-02

2023-11-03

2023-11-04 2023-11-05

2023-11-08

2023-11-09

2023-11-10

2023-11-11

2023-11-12

2023-11-15

2023-11-16

2023-11-17

2023-11-18

2023-11-19

2023-11-22

2023-11-23

2023-11-24

2023-11-25

2023-11-26

2023-11-29

2023-11-30

2023-12-01

2023-12-02

2023-12-03

2023-12-06

2023-12-07

2023-12-08

2023-12-09

2023-12-10

2023-12-13

2023-12-14

2023-12-15

2023-12-16

2023-12-17

13,733.3570

13,807.2970

13,714.2880

13,705.6810

13,684.9390

12,726.54

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.

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

12,759.60

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

0.

0.

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-0.

-0.

-0.

0.

-0.

-0.

0.

0.

0.

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0.

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0.

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0.

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0.

0.

0.

0.

-0.

13.94

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

094%

.

265%

.

077%

.

-1. 94%

113%

.

59% -5.

059%

.

-7. 14%

-3. 01%

139%

.

476%

.

38% -0.

-3. 63%

569%

.

-0. 15%

-1. 44%

0%

.

-2. 08%

157%

.

039%

.

139%

.

-2. 89%

0%

.

10. 04%

192%

.

-2. 17%

229%

.

245%

.

-3. 21%

-1. 13%

285%

.

430%

.

59% -1.

-2. 50%

-4. 36%

-1. 81%

-2. 06%

-5. 05%

285%

.

023%

.

2%

.

445%

.

195%

.

2023-12-20

2023-12-21

2023-12-22

2023-12-23

2023-12-24

2023-12-27

2023-12-28

2023-12-29

2023-12-30

2023-12-31

2023-01-04

2023-01-05 2023-01-06

2023-01-07

2023-01-10

2023-01-11

2023-01-12

2023-01-13

2023-01-14

2023-01-17

2023-01-18

2023-01-19

2023-01-20

2023-01-21

2023-01-24

2023-01-25

2023-01-26

2023-01-27

2023-01-28

2023-01-31

2023-02-01

2023-02-09

2023-02-10

2023-02-11

2023-02-14

2023-02-15

2023-02-16

2023-02-17

2023-02-18

2023-02-21

2023-02-22

2023-02-23

2023-02-24

12,599.6560

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

11,566.74

11,639.9590

11,488.9170

11,446.3720

11,599.6710

11,795.33

11,894.2270

11,994.6840

11,991.5120

11,807.9270

12,170.5120

12,292.4910

12,737.8040

12,711.5750

12,884.87

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

12,698.16

12,893.8420

13,140.8820

13,144.1820

13,158.2150

13,4.8550

12,848.0190

12,958.2920

-0.

-0.

-0.

0.

0.

0.

-0.

-0.

0.

0.

-0.04142088

0.

-0.

-0.

0.

0.

0.838442

0.

-0.026445

-0.

0.

0.

0.

-0.

0.01363285

-0.

-0.

0.

-0.

0.

0.

0.440858

0.

0.

-0.

-0.

0.

0.

0.

0.

-0.

-0.

0.858288

14.01

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

-0. 78%

107%

.

593%

.

-1. 93%

-2. 45%

453%

.

160%

.

-4. 33%

-1. 44%

10. 02%

424%

.

243%

.

54% -1.

-9. 99%

080%

.

418%

.

108%

.

705%

.

71% -2.

351%

.

-1. 52%

202%

.

-2. 27%

208%

.

793%

.

119%

.

-2. 72%

192%

.

-7. 75%

041%

.

-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%

2023-02-25

2023-02-28

2023-03-01

2023-03-02

2023-03-03

2023-03-04

2023-03-07

2023-03-08

2023-03-09

2023-03-10

2023-03-11

2023-03-14 2023-03-15

2023-03-16

2023-03-17

2023-03-18

2023-03-21

2023-03-22

2023-03-23

2023-03-24

2023-03-25

2023-03-28

2023-03-29

2023-03-30

2023-03-31

2023-04-01

2023-04-06

2023-04-07

2023-04-08

2023-04-11

2023-04-12

2023-04-13

2023-04-14

2023-04-15

2023-04-18

2023-04-19

2023-04-20

2023-04-21

2023-04-22

2023-04-25

2023-04-26

2023-04-27

2023-04-28

12,705.3220

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

12,740.87

12,890.6550

13,036.2320

12,925.0460

12,902.2230

13,102.0830

12,991.9250

12,965.7460

13,1.3310

12,799.2410

12,753.8460

12,798.7510

12,708.42

12,508.90

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

12,216.94

12,202.62

12,072.2080

12,156.6050

12,051.2410

12,128.4950

-0.

0.

-0.

0.

-0.

0.

0.

-0.576652

0.

-0.

-0.

-0.

-0.

0.

0.

0.

0.01129322

-0.

-0.

0.

-0.

-0.

0.

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0.

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-0.

-0.

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0.

0.

-0.

0.

-0.15211

0.

0.75816

-0.

-0.

0.

-0.

0.641046

16.7

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

2.14%

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.%

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%

131%

.

243%

.

030%

.

022%

.

99% -3.

146%

.

023%

.

-0. 23%

-0. 15%

2023-04-29

2023-05-03

2023-05-04

2023-05-05

2023-05-06

2023-05-09

2023-05-10

2023-05-11

2023-05-12

2023-05-13

2023-05-16

2023-05-17 2023-05-18

2023-05-19

2023-05-20

2023-05-23

2023-05-24

2023-05-25

2023-05-26

2023-05-27

2023-05-30

2023-05-31

2023-06-01

2023-06-02

2023-06-03

2023-06-07

2023-06-08

2023-06-09

2023-06-10

2023-06-13

2023-06-14

2023-06-15

2023-06-16

2023-06-17

2023-06-20

2023-06-21

2023-06-22

2023-06-23

2023-06-24

2023-06-27

2023-06-28

2023-06-29

2023-06-30

12,230.6890

12,158.1120

12,161.0260

11,742.1860

11,749.9240

11,615.4160

11,530.70

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

11,328.67

11,509.9820

11,543.6540

11,775.3170

11,996.08

12,026.2930

12,047.09

11,913.2023

12,110.9310

12,178.0830

12,441.1680

12,440.37

12,425.68

12,392.9270

12,404.3410

12,438.5640

12,268.1880

12,479.1540

12,440.8290

12,506.9360

12,490.55

0.

-0.

0.

-0.

0.

-0.

-0.

-0.

-0.

0.

0.

-0.

0.

0.

0.

-0.

0.

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-0.

-0.

0.

0.

0.

0.

0.

0.

-0.

0.

0.

0.

-6.41419E-05

-0.

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0.

0.

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0.

-0.

0.

-0.

13.09

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

-0. 61%

-1. 15%

-4. 56%

-0. 73%

253%

.

59% -1.

-1. 29%

-1. 80%

3%

.

040%

.

105%

.

072%

.

016%

.

150%

.

-3. 98%

-0. 16%

098%

.

242%

.

49% -1.

-2. 15%

-1. 63%

-0. 08%

083%

.

-1. 32%

142%

.

329%

.

183%

.

039%

.

-1. 17%

087%

.

-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%

2023-07-01

2023-07-04

2023-07-05

2023-07-06

2023-07-07

2023-07-08

2023-07-11

2023-07-12

2023-07-13

2023-07-14

2023-07-15

2023-07-18

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