2017 年 末 核 心 指 数 指 数 效 应 中 证 指数 有 限公 司 2018 年 1 月 摘 要 2017 500 2.95% -2.30% 300 500 5 5 目 录 . 2 . 2 2017 . 5 . 7 . 8 . 11 . 13 . 16 . 18 图表目录 1 . 1 2 300 . 2 3 300 . 2 4 300 . 3 5 300 . 3 6 . 5 7 Wilcoxon p . 6 8 . 7 9 . 8 10 . 9 11 300 . 9 12 p . 10 13 300 . 11 14 300 . 11 15 300 . 12 16 300 . 12 17 2013 . 13 1 300 . 5 2 300 . 5 3 . 8 4 300 . 14 5 300 . 15 6 180 . 15 7 180 . 16 1 2017 2017 A 11 3.59% 4.85% 50 12.18% 300 9.93% 8.76% 3.60% 11 27 12 11 12 11 300 1.65% 4069.50 300 0.85% 1 1 50 5 4 180 18 13 100 4 2 500 50 47 300 24 20 50 5 4 180 18 16 100 4 3 500 50 47 300 24 22 2 一、指数效应微观分析 （一）指 数效应 历 史水平分 析 2 300 5 5 5 201101 0.2923 -0.2446 1.2367 1.5852 2.8219 0.2786 -1.9459 201107 0.0792 0.0632 -0.5045 2.5655 2.0611 0.3641 1.8834 201201 -1.5581 1.0249 0.7209 4.1750 4.8960 -0.8526 -3.1554 201207 1.7300 1.1753 4.1235 3.2676 7.3911 0.1095 -0.0677 201301 -0.3567 2.1767 4.6454 0.9827 5.6281 -0.4613 0.8518 201307 3.5321 4.4021 5.8123 -2.0086 3.8036 1.8002 2.4300 201312 0.0409 -3.7397 -2.7921 2.3167 -0.4754 0.1107 -0.3878 201406 2.5765 0.6540 2.9611 -0.9412 2.0199 0.1433 -1.3780 201412 -4.4893 0.0966 -6.3350 5.6742 -0.6607 1.1522 -2.2909 201506 -2.9466 1.6716 1.1990 1.4493 2.6483 1.5969 -0.6605 201512 -2.7208 -0.6871 -1.8872 0.9148 -0.9724 0.3202 1.8566 201606 0.8994 -0.8362 2.3198 0.9079 3.2277 -2.2689 -0.7719 201612 -3.4933 -0.1655 -1.2941 1.5860 0.2919 -2.1384 -0.6811 201706 -4.7293 -0.5334 0.6998 1.2008 1.9005 -1.0480 0.7430 201712 -0.5283 -0.2800 4.0240 -1.0403 2.9837 0.1066 0.9084 -0.7781 0.3185 0.9953 1.5090 2.5044 -0.0525 -0.1777 , , i t i t t t T 3 300 5 5 5 201101 -0.9197 -1.0022 -0.1143 -2.8822 -2.9965 -0.3749 1.4063 201107 0.1520 -0.5520 -1.2475 -3.3433 -4.5908 0.8114 1.0582 201201 -0.3228 -0.7214 -2.0461 -4.3440 -6.3900 0.5729 -1.0491 201207 -1.9882 0.4650 -0.5717 -3.2706 -3.8422 0.6845 0.9881 3 201301 -0.3470 0.2570 -0.2803 -2.8027 -3.0830 -0.0113 2.5516 201307 -0.9573 0.2676 -2.7831 -7.2272 -10.0103 1.1223 3.6183 201312 0.1373 -0.8390 -0.4021 -1.3614 -1.7635 -0.2952 0.6034 201406 -2.1177 -0.2060 -0.8810 -1.1500 -2.0310 -0.4000 -1.3957 201412 -1.4298 0.0732 -6.6788 0.0104 -6.6684 -0.6316 -1.7832 201506 7.2781 0.9974 2.0290 -2.2881 -0.2591 -0.4158 -4.7413 201512 0.7256 -0.5167 -1.6143 -0.9767 -2.5909 0.2275 2.0095 201606 0.5927 -0.8606 0.0360 -0.8924 -0.8564 -0.6540 0.3577 201612 -1.6583 0.1757 0.3882 -1.6626 -1.2744 -0.5074 1.8582 201706 -4.3383 -0.3610 -1.5263 -0.1908 -1.7170 -0.7136 2.5362 201712 -0.7774 0.5593 3.3551 -2.1730 1.1821 -0.0513 1.6780 -0.3981 -0.1509 -0.8225 -2.3036 -3.1261 -0.0424 0.6464 4 300 5 5 5 201101 1.0033 0.9025 1.0190 1.0023 1.0113 1.0292 1.0079 201107 1.0063 0.9340 1.0023 0.9905 0.9843 1.0516 0.9996 201201 0.9938 1.1602 1.0138 1.0010 1.0047 1.1966 1.0275 201207 1.0076 0.9446 0.9942 1.0027 1.0029 1.1583 1.0113 201301 1.0252 0.9551 1.0080 1.0091 1.0088 0.9764 1.0039 201307 1.0249 1.6444 1.0154 1.0189 1.0636 1.1910 1.0047 201312 1.0229 1.0213 1.0028 1.0132 1.0323 1.1726 1.0036 201406 1.0087 0.9199 1.0078 0.9935 1.0065 1.1360 0.9878 201412 1.0272 0.9660 0.9983 1.0308 1.0165 1.4478 1.0275 201506 1.0016 1.1137 1.0073 0.9975 1.0032 1.0935 0.9932 201512 1.0000 1.1067 1.0222 1.0037 1.0414 1.0199 1.0094 201606 0.9983 0.8522 0.9972 0.9970 1.0181 1.0472 1.0003 201612 0.9980 1.0024 1.0019 1.0197 1.0346 1.0515 0.9949 201706 1.0123 0.9303 1.0090 0.9973 1.0036 1.0622 0.9976 201712 1.0091 0.7955 1.0192 1.0463 1.0363 1.2702 1.1590 1.0093 1.0166 1.0079 1.0082 1.0179 1.1269 1.0152 Harris Gruel 1986 , t i t t i 5 300 5 5 5 4 201101 0.9983 0.8003 1.0423 0.9959 1.0114 1.2491 0.9929 201107 1.0053 0.9375 1.0041 1.0110 0.9981 1.2761 1.0071 201201 0.9952 1.2388 1.0155 0.9967 1.0019 1.2953 1.0449 201207 1.0091 0.9891 1.0007 1.0000 1.0016 1.0612 1.0090 201301 1.0268 0.9129 1.0012 0.9906 0.9964 0.8857 1.0078 201307 1.0118 0.9395 1.0060 1.0091 1.0311 1.1126 1.0009 201312 0.9849 0.8004 1.0337 1.0146 1.0447 1.2967 0.9927 201406 1.0003 0.8552 1.0077 0.9916 1.0012 1.0136 0.9955 201412 1.0227 1.0890 1.0015 1.0437 1.0214 1.2229 1.0158 201506 1.0277 1.1859 1.2456 1.0587 1.1212 0.9545 0.9983 201512 0.9950 1.0884 1.0231 1.0014 1.0301 0.9913 1.0083 201606 1.0011 0.8254 0.9967 0.9963 1.0148 1.0178 0.9979 201612 1.0017 0.8489 1.0014 1.0130 1.0145 1.1642 0.9811 201706 1.0170 0.9597 1.0038 0.9970 1.0012 1.0237 0.9991 201712 1.0153 0.8544 1.0159 1.0407 1.0349 1.2795 1.1611 1.0075 0.9550 1.0266 1.0107 1.0216 1.1229 1.0142 2011 300 2.50% -3.13% 2013 7 2014 12 2015 2.95% -2.30% 1.50% -2.20% 1.1269 1.1229 12.69% 12.29% 1.2702 1.2795 5 1.159 1.1611 5 1 300 2 300 （ 二）2017 年末指数 效应水平 1 、 核心指数价格指数效应对比分析 6 5 5 5 300 -0.53 -0.28 4.02 -1.04 2.98 0.11 0.91 100 1.47 -0.08 5.61 -0.65 4.96 1.08 1.89 500 -0.26 0.75 0.56 0.11 0.67 -0.10 -0.01 50 1.75 0.32 6.94 -4.38 2.56 0.01 0.36 180 -0.44 -1.24 1.67 -1.74 -0.06 0.36 1.76 2.82 2.06 4.90 7.39 5.63 3.80 -0.48 2.02 -0.66 2.65 -0.97 3.23 0.29 1.90 2.98 2.47 -2 -1 0 1 2 3 4 5 6 7 8 (%) -3.00 -4.59 -6.39 -3.84 -3.08 -10.01 -1.76 -2.03 -6.67 -0.26 -2.59 -0.86 -1.27 -1.72 1.18 -3.57 -12 -10 -8 -6 -4 -2 0 2 (%) 6 300 -0.78 0.56 3.36 -2.17 1.18 -0.05 1.68 100 -1.53 2.75 3.64 -1.72 1.92 -1.69 -2.26 500 0.18 -0.10 -0.10 -1.12 -1.22 -0.52 -0.53 50 1.92 -0.76 0.40 -4.44 -4.04 -0.91 -1.62 180 -1.63 0.59 0.80 -3.24 -2.44 -0.42 0.95 , ,