事件研究法检验市场有效性解答

1、利用温州动车事件检验市场有效性（利用事件研究法）002122.SZ )作为一、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（ 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股票收盘股票收益率Rt （%）股票指数指数收益率事件窗时期1价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=（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P系数、正常收益率（AR）和累积异常

3、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B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R2= 0.139842975,截距 =0.000892527 （利用intercept 函数，选择股票收益率和指数收益率），卩=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

4、收益率，X指指数收益率）异常收益率AR=际收益率（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、绘制天马股份（002122.SZ ）在事件窗【-4,4】的CAR坐标图-51钢川攵證幸隻化巴-疗阳-10. 00CW事件口.潮-6象订 准徹收苗率（CAR）-20.0

6、0%,在温州动车五、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）2010-09-1511,412.101010.942010-09-1611,164.0210-0.02173

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