事件研究法检验市场有效性.docx

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（2122.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，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
Rmt （% ）
事件窗时期
7.18
13.03

12490.55

-5
7.19
12.98
-0.384
12381.46
-0.873
-4
7.20
12.79
-1.464
12393.99
0.101
-3
7.21
12.48
-2.424
12301.41
-0.747
-2
7.22
12.36
-0.962
12,352.50
0.415
-1
7.25
11.12
-10.032
11966.24
-3.127
0
7.26
10.84
-2.518
12023.53
0.353
1
7.27
11.24
3.690
12116.86
0.902
2
7,28
11.54
2.669
12,085.92
-0.255
3
7.29
11.45
-0.780
11990.43
-0.790
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RA2= 0.,截距=0.（运用intercept函数，选择股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
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CAR
7.18

7.19
-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%
7.23
0
-10.032%
-3.127%
-2.218%
-10.03%
-7.814%
-12.590%
7.24
1
-2.518%
0.353%
0.350%
-2.52%
-2.868%
-15.458%
7.25
2
3.690%
0.902%
0.755%
3.69%
2.935%
-12.523%
7.26
3
2.669%
-0.255%
-0.099%
2.67%
2.768%
-9.755%
7.27
4
-0.780%
-0.790%
-0.494%
-0.78%
-0.286%
-10.041%

四、绘制天马股份（2122.SZ ）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
股票指数
股票市场收益（Rmt）
个股股价
个股收益率（Rit）
2023-09-15
11,412.1010

10.94

2023-09-16
11,164.0210
-0.
10.57
-3.38%
2023-09-17
11,208.2520
0.
10.58
0.09%
2023-09-20
11,150.3290
-0.
10.35
-2.17%
2023-09-21
11,210.7410
0.
10.2
-1.45%
2023-09-27
11,409.8130
0.
10.36
1.57%
2023-09-28
11,274.4850
-0.
10.46
0.97%
2023-09-29
11,223.8620
-0.4495
10.18
-2.68%
2023-09-30
11,468.5430
0.
10.37
1.87%
2023-10-08
11,911.3690
0.
10.67
2.89%
2023-10-11
12,237.6480
0.
11.21
5.06%
2023-10-12
12,373.2790
0.
11.08
-1.16%
2023-10-13
12,602.9950
0.
11.49
3.70%
2023-10-14
12,507.71
-0.
11.17
-2.79%
2023-10-15
12,765.5010
0.
12.29
10.03%
2023-10-18
12,649.27
-0.
13.52
10.01%
2023-10-19
12,970.1980
0.
13.79
2.%

2023-10-20
13,130.0120
0.
14.1
2.
25%
2023-10-21
13,111.52
-0.
14.26
1.
13%
2023-10-22
13,224.9780
0.
13.73
-3.
72%
2023-10-25
13,734.1970
0.
13.89
1.
17%
2023-10-26
13,729.9630
-0.
14.56
4.
82%
2023-10-27
13,452.1710
-0.
14.26
-2.
06%
2023-10-28
13,445.0250
-0.
14.87
4.
28%
2023-10-29
13,367.2360
-0.
14.74
-0.
87%
2023-11-01
13,743.7710
0.
14.97
1.
56%
2023-11-02
13,646.4580
-0.
14.39
-3.
87%
2023-11-03
13,392.70
-0.
13.61
-5.
42%
2023-11-04
13,595.7320
0.
13.81
1.
47%
2023-11-05
13,733.3570
0.
13.94
0.
94%
2023-11-08
13,807.2970
0.
14.31
2.
65%
2023-11-09
13,714.2880
-0.
14.42
0.
77%
2023-11-10
13,705.6810
-0.
14.14
-1.
94%
2023-11-11
13,684.9390
-0.
14.3
1.
13%
2023-11-12
12,726.54
-0.
13.5
-5.
59%
2023-11-15
12,808.0940
0.
13.58
0.
59%
2023-11-16
12,217.2720
-0.
12.61
-7.
14%
2023-11-17
11,917.4940
-0.
12.23
-3.
01%
2023-11-18
12,146.1450
0.
12.4
1.
39%
2023-11-19
12,295.8490
0.
12.99
4.
76%
2023-11-22
12,303.5450
0.
12.94
-0.
38%
2023-11-23
12,062.4090
-0.
12.47
-3.
63%
2023-11-24
12,407.6550
0.
13.18
5.
69%
2023-11-25
12,604.0840
0.
13.16
-0.
15%
2023-11-26
12,539.0140
-0.
12.97
-1.
44%
2023-11-29
12,536.5510
-0.
12.97
0.
%
2023-11-30
12,336.2880
-0.01597433
12.7
-2.
08%
2023-12-01
12,310.3840
-0.
12.9
1.
57%
2023-12-02
12,409.0190
0.
12.95
0.
39%
2023-12-03
12,443.
0.
13.13
1.
39%
2023-12-06
12,422.7850
-0.
12.75
-2.
89%
2023-12-07
12,656.9970
0.
12.75
0.
%
2023-12-08
12,615.4120
-0.
14.03
10.
04%
2023-12-09
12,353.2660
-0.
14.3
1.
92%
2023-12-10
12,460.4640
0.
13.99
-2.
17%
2023-12-13
12,905.0240
0.
14.31
2.
29%
2023-12-14
12,926.6150
0.
14.66
2.
45%
2023-12-15
12,829.3640
-0.
14.19
-3.
21%
2023-12-16
12,795.6780
-0.
14.03
-1.
13%
2023-12-17
12,759.60
-0.
14.43
2.
85%

2023-12-20
12,557.5470
-0.
15.05
4.
30%
2023-12-21
12,872.4460
0.
14.81
-1.
59%
2023-12-22
12,766.9520
-0.
14.44
-2.
50%
2023-12-23
12,644.5750
-0.
13.81
-4.
36%
2023-12-24
12,556.8450
-0.
13.56
-1.
81%
2023-12-27
12,303.1880
-0.
13.28
-2.
06%
2023-12-28
12,063.8020
-0.
12.61
-5.
05%
2023-12-29
12,114.5640
0.
12.97
2.
85%
2023-12-30
12,138.8950
0.
13
0.
23%
2023-12-31
12,458.5520
0.
13.26
2.
%
2023-01-04
12,714.5140
0.
13.85
4.
45%
2023-01-05
12,647.6290
-0.
14.12
1.
95%
2023-01-06
12,599.6560
-0.
14.01
-0.
78%
2023-01-07
12,573.9370
-0.
14.16
1.
07%
2023-01-10
12,331.1580
-0.
15
5.
93%
2023-01-11
12,385.1720
0.
14.71
-1.
93%
2023-01-12
12,409.9780
0.
14.35
-2.
45%
2023-01-13
12,423.3430
0.
15
4.
53%
2023-01-14
12,294.1650
-0.
15.24
1.
60%
2023-01-17
11,734.6240
-0.
14.58
-4.
33%
2023-01-18
11,771.5880
0.
14.37
-1.
44%
2023-01-19
12,0665470
0.
15.81
10.
02%
2023-01-20
11,566.74
-0.04142088
16.48
4.
24%
2023-01-21
11,639.9590
0.
16.88
2.
43%
2023-01-24
11,488.9170
-0.
16.62
-1.
54%
2023-01-25
11,446.3720
-0.
14.96
-9.
99%
2023-01-26
11,599.6710
0.
15.08
0.
80%
2023-01-27
11,795.33
0.
15.71
4.
18%
2023-01-28
11,894.2270
0.838442
15.88
1.
08%
2023-01-31
11,994.6840
0.
17
7.
05%
2023-02-01
11,991.5120
-0.026445
16.54
-2.
71%
2023-02-09
11,807.9270
-0.
17.12
3.
51%
2023-02-10
12,170.5120
0.
16.86
-1.
52%
2023-02-11
12,292.4910
0.
17.2
2.
02%
2023-02-14

12,737.8040
0.
16.81
-2.
27%
2023-02-15
12,711.5750
-0.
17.16
2.
08%
2023-02-16
12,884.87
0.01363285
18.52
7.
93%
2023-02-17
12,788.3350
-0.
18.74
1.
19%
2023-02-18
12,613.1120
-0.
18.23
-2.
72%
2023-02-21
12,872.4660
0.
18.58
1.
92%
2023-02-22
12,473.3310
-0.
17.14
-7.
75%
2023-02-23
12,492.7050
0.
17.21
0.
41%
2023-02-24
12,578.4260
0.
17.11
-0.
58%

2023-02-25
12,633.8790
0.440858
17.24
0.76%
2023-02-28
12,902.4350
0.
17.78
3.13%
2023-03-01
12,948.7180
0.
17.4
-2.14%
2023-03-02
12,880.2660
-0.
16.86
-3.10%
2023-03-03
12,698.16
-0.
16.17
-4.09%
2023-03-04
12,893.8420
0.
16.51
2.10%
2023-03-07
13,140.8820
0.
16.82
1.88%
2023-03-08
13,144.1820
0.
16.59
-1.37%
2023-03-09
13,158.2150
0.
17.31
4.34%
2023-03-10
13,4.8550
-0.
17.11
-1.16%
2023-03-11
12,848.0190
-0.
16.56
-3.21%
2023-03-14
12,958.2920
0.858288
16.35
-1.27%
2023-03-15
12,705.3220
-0.
16.7
2.14%
2023-03-16
12,865.7540
0.
16.82
0.72%
2023-03-17
12,650.6730
-0.
16.85
0.18%
2023-03-18
12,721.9910
0.
16.53
-1.90%
2023-03-21
12,643.7310
-0.
16.56
0.18%
2023-03-22
12,667.2630
0.
16.28
-169%
2023-03-23
12,845.5290
0.
16.33
0.31%
2023-03-24
12,771.4550
-0.576652
16.12
-1.29%
2023-03-25
12,942.0710
0.
16.2
0.50%
2023-03-28
12,875.5170
-0.
16.74
3.33%
2023-03-29
12,677.6080
-0.
16.55
-1.14%
2023-03-30
12,661.2160
-0.
15.48
-6.47%
2023-03-31
12,562.9010

-0.
15.03
-2.91%
2023-04-01
12,699.4170
0.
15.34
2.06%
2023-04-06
12,740.87
0.
15.28
-0.39%
2023-04-07
12,890.6550
0.
15.61
2.16%
2023-04-08
13,036.2320
0.01129322
15.62
0.06%
2023-04-11
12,925.0460
-0.
15.51
-0.70%
2023-04-12
12,902.2230
-0.
15.2
-2.%
2023-04-13
13,102.0830
0.
15.5
1.97%
2023-04-14
12,991.9250
-0.
15.29
-1.35%
2023-04-15
12,965.7460
-0.
15.38
0.59%
2023-04-18
13,1.3310
0.
15.3
-0.52%
2023-04-19
12,799.2410
-0.
14.49
-5.29%
2023-04-20
12,753.8460
-0.
14.38
-0.76%
2023-04-21
12,798.7510
0.
14.13
-1.74%
2023-0422
12,708.42
-0.
14.29
1.13%
2023-04-25
12,508.90
-0.
14.35
0.42%
2023-04-26
12,448.4840
-0.
13.95
-2.79%
2023-04-27
12,358.8820
-0.
13.27
-4.87%
2023-04-28
12,149.2470
-0.
13.51
1.81%

2023-04-29
12,312.9910
0.
13.41
-0.
74%
2023-05-03
12,423.4620
0.
13.08
-2.
46%
2023-05-04
12,070.4050
-0.
12.98
-0.
76%
2023-05-05
12,085.9930
0.
13.15
1.
31%
2023-05-06
12,067.6090
-0.15211
13.47
2.
43%
2023-05-09
12,125.0130
0.
13.51
0.
30%
2023-05-10
12,216.94
0.75816
13.54
0.
22%
2023-05-11
12,202.62
-0.
13
-3.
99%
2023-05-12
12,072.2080
-0.
13.19
1.
46%
2023-05-13
12,156.6050
0.
13.22
0.
23%
2023-05-16
12,051.2410
-0.
13.19
-0.
23%
2023-05-17
12,128.4950
0.641046
13.17
-0.
15%
2023-05-18
12,230.6890
0.
13.09
-0.
61%
2023-05-19
12,158.1120
-0.
12.94
-1.
15%
2023-05-20
12,161.0260
0.
12.35
-4.
56%
2023-05-23
11,742.1860
-0.
12.26
-0.
73%
2023-05-24
11,749.9240
0.
12.57
2.
53%
2023-05-25
11,615.4160
-0.
12.37
-1.
59%
2023-05-26
11,530.70
-0.
12.21
-1.
29%
2023-05-27
11,492.7120
-0.
11.99
-1.
80%
2023-05-30
11,478.2060
-0.
12.35
3.
%
2023-05-31
11,665.1410
0.
12.4
0.
40%
2023-06-01
11,699.8270
0.
12.53
1.
05%
2023-06-02
11,506.5210
-0.
12.62
0.
72%
2023-06-03
11,642.4010
0.
12.64
0.
16%
2023-06-07
11,741.2590
0.
12.83
1.
50%
2023-06-08
11,761.1030
0.
12.32
-3.
98%
2023-06-09
11,513.2030
-0.
12.3
-0.
16%
2023-06-10
11,593.3790
0.
12.42
0.
98%
2023-06-13
11,521.9840
-0.
12.72
2.
42%
2023-06-14
11,732.0360
0.
12.53
-1.
49%
2023-06-15
11,615.9690
-0.
12.26
-2.
15%
2023-06-16
11,435.9870
-0.01549436
12.06
-1.
63%
2023-06-17
11,409.1570
-0.
12.05
-0.
08%
2023-06-20
11,328.67
-0.
12.15
0.
83%
2023-06-21
11,509.9820
0.
11.99
-1.
32%
2023-06-22
11,543.6540
0.
12.16
1.
42%
2023-06-23
11,775.3170
0.
12.56
3.
29%
2023-06-24
11,996.08
0.
12.79
1.
83%
2023-06-27
12,026.2930
0.
12.84
0.
39%
2023-06-28
12,047.09
0.
12.69
-1.
17%
2023-06-29
11,913.2023
-0.
12.8
0.
87%
2023-06-30
12,110.9310
0.
12.75
-0.
39%

2023-07-01
12,178.0830
0.
13
1.96%
2023-07-04
12,441.1680
0.
12.98
-0.15%
2023-07-05
12,440.37
-6.41419E-05
13.05
0.54%
2023-07-06
12,425.68
-0.
13.24
1.46%
2023-07-07
12,392.9270
-0.
13.07
-1.28%
2023-07-08
12,404.3410
0.
12.9
-1.30%
2023-07-11
12,438.5640
0.
12.43
-3.64%
2023-07-12
12,268.1880
-0.
12.66
1.85%
2023-07-13
12,479.1540
0.
12.61
-0.39%
2023-07-14
12,440.8290
-0.
12.75
1.11%
2023-07-15
12,506.9360
0.
13.03
2.20%
2023-07-18
12,490.55
-0.
12.98
-0.38%