金融工程快评：2025年12月沪深核心指数成分股调整冲击测算

Quantitative Models and Construction Methods Model Name: Index Component Adjustment Impact Model - Model Construction Idea: The model aims to measure the impact of index component adjustments on stock prices, considering the scale of passive products tracking the index and the average trading volume of the stocks[7][8][9]. - Detailed Construction Process: - The model calculates the impact of index adjustments using the following formula: $\mathrm{effect}_{s} = \frac{\sum_{i}^{m} wt_{in} * index_{-}scale_{i} - \sum_{i}^{n} wt_{out} * index_{-}scale_{i}}{avg_{-}amt_{s}}$ where: - $wt_{in}$ represents the buy weight of the stock in the index - $wt_{out}$ represents the sell weight of the stock in the index - $index_{-}scale_{i}$ represents the total scale of passive products tracking the index - $avg_{-}amt_{s}$ represents the average daily trading volume of the stock over the past two weeks[7][8][9]. - Model Evaluation: The model effectively quantifies the potential trading impact on stocks due to index adjustments, providing valuable insights for identifying trading opportunities[7][8][9]. Model Backtesting Results - Index Component Adjustment Impact Model: - Net Buy Scale: - Shenghong Technology: 48.65 billion CNY[10] - Dongshan Precision: 47.91 billion CNY[10] - Guangqi Technology: 34.87 billion CNY[10] - Impact Coefficient: - Shenghong Technology: 0.57[10] - Dongshan Precision: 1.31[10] - Guangqi Technology: 3.37[10] Quantitative Factors and Construction Methods Factor Name: Impact Coefficient - Factor Construction Idea: The impact coefficient measures the potential impact on a stock's price due to changes in its index weight, considering the net adjustment scale and the stock's average trading volume[9][10][11]. - Detailed Construction Process: - The impact coefficient is calculated using the formula: $\text{Impact Coefficient} = \frac{\text{Net Adjustment Scale}}{\text{Average Daily Trading Volume}}$ where: - Net Adjustment Scale is the net buy or sell scale of the stock due to index adjustments - Average Daily Trading Volume is the stock's average trading volume over the past two weeks[9][10][11]. - Factor Evaluation: The impact coefficient provides a clear measure of the potential price impact on stocks due to index adjustments, helping investors identify stocks that may experience significant price movements[9][10][11]. Factor Backtesting Results - Impact Coefficient: - Stocks with Impact Coefficient > 2: - Tower Group: 8.69[12] - Jiangzhong Pharmaceutical: 8.44[12] - Shanxi Drum Power: 6.99[12] - Stocks with Impact Coefficient < -2: - Deep Expressway: -15.65[14] - Wanhe Electric: -13.30[14] - Tianyoude Wine: -10.52[14]