国外策略指数研究述评及对我国的启示
5775 
191
上海财经大学学报 2011 年 第 13 卷第 03 期, 页码：92 - 98
摘要
参考文献
摘要
策略指数是除了传统的只做多的市值加权指数之外的指数,近几年来在国外得到了迅速发展,但在国内的发展却相对滞后,理论研究尚属空白。有鉴于此,本文首次对国外策略指数的相关研究进行了全面和系统的回顾,提出了策略指数的科学定义,引入适应性市场假说这一前沿理论诠释了策略指数的理论基础,并对策略指数编制方法和投资优势等方面的相关研究进行了总结与评述,以期为国内策略指数的开发与管理提供有益的借鉴。
[1]Ferri,R.A..The ETF Book:All you need to knowabout exchange-tradedfunds[M].New York:John Wi-ley&Sons,Inc.2009.
[2]中证指数有限公司.近年国际证券指数发展动态[R].中证指数有限公司研究报告,2009-04-03.
[3]曹传琪.海外策略指数的发展与本土化[R].华泰联合证券公司研究报告,2009-07-10.
[4]Fama,E.F..Efficient Capital Market:A Review of Theory and Empirical Work[J].Journal of Finance,1970,25(2):383-417.
[5]Lo,A.W..The Adaptive Markets Hypothesis:Market efficiency from an evolutionary perspective[J].Journal of Portfolio Management,2004(30):15-29.
[6]Farmer,J.D.and Lo,A.W..Frontiers of finance:evolution and efficient markets[R].Proceedings of theNational Academy of Sciences,1999(96):9991-9992.
[7]Daniel K.,Sheridan Tit man.Market efficiencyin anirrational world[R].NBER Working Paper,2000(7489).
[8]Farmer,J.D..Market force,ecology and evolution[J].Industrial and Corporate Change,2002(11):895-953.
[9]Lo,A.W..Bubble,rubble,finance in trouble?[J]Journal of Psychology and Financial Markets,2002(3):76-86.
[10]Lo,A.W..Reconciling efficient markets with behavioral finance:the adaptive markets hypothesis[J].Journal of Invest ment Consulting,2005(7):21-44.
[11]Finn,E..DowJones Indexes and Barron’s Launch Barron’s 400 Index[R].DowJones Indexes,2007-09-04.
[12]Koski,J..DowJones Indexes and Transparent Value LLC Launch the DowJones RBP Large-Cap 130/30 Indexes[R].DowJones Indexes,2008-03-11.
[13]Morris,D..New non-price indices from FTSE Group and GWA[R].FTSE Group,2005-07-14.
[14]Arnott,R.D..FTSE and Rob Arnott launch first fundamental indexes[R].FTSE Group,2005-07-19.
[15]Hougan,M..S&P Launches New STARS Indexes:Any ETF Issuers Willing To Bite[R].Standard&Poor’s Corporation,2007-08-28.
[16]Goldin,S..S&P Launches S&P 500 Quality Rankings Indices[R].Standard&Poor’s Corporation,2010-06-28.
[17]Petronella,M.A..DowJones Indexes Launches U.S.Contrarian Opportunities Index[R].DowJones In-dexes,2010-04-08.
[18]Amenc,N..FTSE Group and EDHEC-Risk Institute collaborate to create innovative benchmarking withnewrisk efficient indices[R].FTSE Group,2010-01-18.
[19]Ghayur,K..FTSE Group Introduces New Equity Style Index Offerings with ActiveBeta Index Series[R].FTSE Group,2010-03-08.
[20]Brierbood,D..MSCI Expands Range of Factor Indices[R].MSCI Corporation,2009-06-16.
[21]Dash,S..S&P Extends International Family of Strategy Indices to Canada with Launch of S&P/TSX 60130/30 Strategy Index[R].Standard&Poor’s Corporation,2010-01-19.
[2]中证指数有限公司.近年国际证券指数发展动态[R].中证指数有限公司研究报告,2009-04-03.
[3]曹传琪.海外策略指数的发展与本土化[R].华泰联合证券公司研究报告,2009-07-10.
[4]Fama,E.F..Efficient Capital Market:A Review of Theory and Empirical Work[J].Journal of Finance,1970,25(2):383-417.
[5]Lo,A.W..The Adaptive Markets Hypothesis:Market efficiency from an evolutionary perspective[J].Journal of Portfolio Management,2004(30):15-29.
[6]Farmer,J.D.and Lo,A.W..Frontiers of finance:evolution and efficient markets[R].Proceedings of theNational Academy of Sciences,1999(96):9991-9992.
[7]Daniel K.,Sheridan Tit man.Market efficiencyin anirrational world[R].NBER Working Paper,2000(7489).
[8]Farmer,J.D..Market force,ecology and evolution[J].Industrial and Corporate Change,2002(11):895-953.
[9]Lo,A.W..Bubble,rubble,finance in trouble?[J]Journal of Psychology and Financial Markets,2002(3):76-86.
[10]Lo,A.W..Reconciling efficient markets with behavioral finance:the adaptive markets hypothesis[J].Journal of Invest ment Consulting,2005(7):21-44.
[11]Finn,E..DowJones Indexes and Barron’s Launch Barron’s 400 Index[R].DowJones Indexes,2007-09-04.
[12]Koski,J..DowJones Indexes and Transparent Value LLC Launch the DowJones RBP Large-Cap 130/30 Indexes[R].DowJones Indexes,2008-03-11.
[13]Morris,D..New non-price indices from FTSE Group and GWA[R].FTSE Group,2005-07-14.
[14]Arnott,R.D..FTSE and Rob Arnott launch first fundamental indexes[R].FTSE Group,2005-07-19.
[15]Hougan,M..S&P Launches New STARS Indexes:Any ETF Issuers Willing To Bite[R].Standard&Poor’s Corporation,2007-08-28.
[16]Goldin,S..S&P Launches S&P 500 Quality Rankings Indices[R].Standard&Poor’s Corporation,2010-06-28.
[17]Petronella,M.A..DowJones Indexes Launches U.S.Contrarian Opportunities Index[R].DowJones In-dexes,2010-04-08.
[18]Amenc,N..FTSE Group and EDHEC-Risk Institute collaborate to create innovative benchmarking withnewrisk efficient indices[R].FTSE Group,2010-01-18.
[19]Ghayur,K..FTSE Group Introduces New Equity Style Index Offerings with ActiveBeta Index Series[R].FTSE Group,2010-03-08.
[20]Brierbood,D..MSCI Expands Range of Factor Indices[R].MSCI Corporation,2009-06-16.
[21]Dash,S..S&P Extends International Family of Strategy Indices to Canada with Launch of S&P/TSX 60130/30 Strategy Index[R].Standard&Poor’s Corporation,2010-01-19.
引用本文
徐国祥, 刘芳. 国外策略指数研究述评及对我国的启示[J]. 上海财经大学学报, 2011, 13(3): 92–98.
导出参考文献，格式为：
