12月指数定期调样的影响估算

Quantitative Models and Construction Methods 1. Model Name: Liquidity Impact Coefficient Model - Model Construction Idea: This model measures the liquidity impact of index adjustments on individual stocks by calculating the ratio of net fund flows to the stock's recent average daily trading volume[12][13] - Model Construction Process: The liquidity impact coefficient for a stock is calculated as follows: $impact_{i} = \sum_{k=1}^{N} \frac{\Delta weight_{k,i} \times AUM_{k}}{amt\_avg_{i,20}}$ - $\Delta weight_{k,i}$: Estimated weight change of stock $i$ in index $k$ - $AUM_{k}$: Total assets under management of passive products tracking index $k$ as of the end of November - $amt\_avg_{i,20}$: Average daily trading volume of stock $i$ over the past 20 trading days as of the end of November[12][13] - Model Evaluation: The model provides a quantitative framework to estimate short-term liquidity shocks caused by index adjustments, but it is subject to data discrepancies and assumptions, which may lead to deviations from actual results[13] --- Model Backtesting Results Liquidity Impact Coefficient Model - Top 5 Stocks with Highest Positive Impact Coefficients: - Zhangjiagang Bank (002839 CH): 11.55[15] - Jiangzhong Pharmaceutical (600750 CH): 11.44[15] - Tower Group (002233 CH): 11.04[15] - Jichuan Pharmaceutical (600566 CH): 10.14[15] - Zhengbang Technology (002157 CH): 9.99[15] - Top 5 Stocks with Highest Negative Impact Coefficients: - Shenzhen Expressway (600548 CH): -24.95[16] - Vanward Electric (002543 CH): -20.90[16] - Aviation Materials (688563 CH): -14.06[16] - Huaxi Biology (688363 CH): -10.81[16] - Ninghu Expressway (600377 CH): -10.54[16] --- Quantitative Factors and Construction Methods 1. Factor Name: Net Fund Flow Factor - Factor Construction Idea: This factor estimates the net fund inflow or outflow for stocks due to index adjustments, based on changes in index weights and the total AUM of passive products tracking the index[9][10] - Factor Construction Process: - Outflow Amount: Total AUM of linked products multiplied by the stock's actual weight in the index as of the end of November - Inflow Amount: Total AUM of linked products multiplied by the estimated weight of the stock in the index post-adjustment - Weight estimation is based on free-float market capitalization and index-specific weighting rules, such as dividend yield weighting or market capitalization weighting[9][10] - Factor Evaluation: The factor provides a transparent and systematic approach to estimate fund flows, but it is sensitive to assumptions about future index weights and AUM changes[9][10] --- Factor Backtesting Results Net Fund Flow Factor - Top 5 Stocks with Highest Net Fund Inflows: - Victory Precision (300476 CH): 112.61 billion CNY[10] - Dongshan Precision (002384 CH): 99.32 billion CNY[10] - Guangqi Technology (002625 CH): 77.81 billion CNY[10] - Sugon Information (603019 CH): 65.44 billion CNY[10] - Top Group (601689 CH): 53.07 billion CNY[10] - Top 5 Stocks with Highest Net Fund Outflows: - China Mobile (600941 CH): -40.02 billion CNY[11] - CRRC Corporation (601766 CH): -36.40 billion CNY[11] - Aluminum Corporation of China (601600 CH): -34.29 billion CNY[11] - TCL Zhonghuan (002129 CH): -30.07 billion CNY[11] - Huagong Tech (000988 CH): -27.44 billion CNY[11]