关键词: 股票价格指数, 基期修正, 因子分析, 聚类分析

Abstract: On the assumption of the unification of two stock markets, we apply several commonly used statistical methods, such as factor analysis, clustering analysis, correlation analysis, to build an effective model by which an objective stock sample can be obtained for computing index. Meanwhile, the information derived from the accounting annals of public owned company and the idiosyncrasy revealed by fluctuant pattern of stock price have been fully exploited. The index computed by this model covers all kinds of industries and regions and it can also be used in the further developed security market. The main purpose of this paper is to bring forward an objective and comprehensive model by which we can calculate a large size index that can offer more convenience and low tracing cost for risk managenment.

Key words: stock index, base dates adjustment, factor analysis, cluster analysis