研究数据高级数据
股票市场羊群效应指标（CSSD与CSAD）
数据摘要
股票收益的横截面离散程度可为投资者羊群行为研究提供测度。本资料整理CSSD与CSAD指标，分别提供等权、总市值加权及流通市值加权口径，并保留交易日期和对应市场收益率。可用于市场羊群效应比较与不同加权方法的分析。
基本信息
| 数据频率 | 日度 |
|---|---|
| 年份范围 | 2000-2025 |
| 当前预览样本量 | 6301 行 |
| 文件格式 | Excel / Stata / Stata代码 / PDF |
| 文件包大小 | 2.11 GB |
| 包含内容 | 数据表6份、代码1份、文档1份 |
| 所属分类 |
样本年份分布
合计 6,301 行 · 26 个年份
2000
2001
2002
2003
2004
2005
2006
2007
2008
2009
2010
2011
2012
2013
2014
2015
2016
2017
2018
2019
2020
2021
2022
2023
2024
2025
查看年份明细
| 年份 | 样本量 |
|---|---|
| 2000 | 239 |
| 2001 | 240 |
| 2002 | 237 |
| 2003 | 241 |
| 2004 | 243 |
| 2005 | 242 |
| 2006 | 241 |
| 2007 | 242 |
| 2008 | 246 |
| 2009 | 244 |
| 2010 | 242 |
| 2011 | 244 |
| 2012 | 243 |
| 2013 | 238 |
| 2014 | 245 |
| 2015 | 244 |
| 2016 | 244 |
| 2017 | 244 |
| 2018 | 243 |
| 2019 | 244 |
| 2020 | 243 |
| 2021 | 243 |
| 2022 | 242 |
| 2023 | 242 |
| 2024 | 242 |
| 2025 | 243 |
测算方法
先在每个交易日计算市场平均收益，再衡量个股收益与其的横截面离散。收益使用考虑现金红利再投资的日回报；市场收益分别采用等权、上一条交易记录总市值权重、上一条交易记录流通市值权重三种口径。对每种Rm，CSSD=√[Σ(Ri−Rm)²/(N−1)]，CSAD=平均|Ri−Rm|，得到三组离散度。程序最终按年份和交易日期汇总，每个日期保留三种市场收益与CSSD、CSAD，结果仍是日频。另一个版本先删除金融行业及ST、PT后重新计算所有市场收益和离散度。指标描述市场收益分散程度，未继续估计极端行情或非线性羊群回归。
以下字段、样本量及样本仅对应当前展示的数据表，不代表资料包全部文件。查看文件结构
字段列表共 12 个字段
| 字段 | 含义 / 说明 | 类型 | 均值 | 标准差 | 最小值 | 最大值 | 缺失率 |
|---|---|---|---|---|---|---|---|
交易日期 | — | 文本 | — | — | — | — | 0.0000% |
year | — | 整数 | 2012.52579 | 7.487227846 | 2000 | 2025 | 0.0000% |
等权平均市场收益率 | (mean) 等权平均市场收益率 | 数值 | 0.001067484468 | 0.01895808495 | -0.1229199033 | 0.1206198473 | 0.0000% |
总市值加权平均市场收益率 | (mean) 总市值加权平均市场收益率 | 数值 | 0.0004351406197 | 0.01656592341 | -0.09529984182 | 0.09956929839 | 0.0000% |
流通市值加权平均市场收益率 | (mean) 流通市值加权平均市场收益率 | 数值 | 0.0004615282451 | 0.01670268229 | -0.09494833762 | 0.09993890866 | 0.0000% |
CSSD等权 | (mean) CSSD等权 | 数值 | 0.02960623008 | 0.02329588073 | 0.003337560861 | 0.5751864021 | 0.0000% |
CSAD等权 | (mean) CSAD等权 | 数值 | 0.01665230394 | 0.005343970048 | 0.0005739377802 | 0.05621505384 | 0.0000% |
CSSD总市值加权 | (mean) CSSD总市值加权 | 数值 | 0.03012985973 | 0.02336559577 | 0.004915184622 | 0.5754645262 | 0.0000% |
CSAD总市值加权 | (mean) CSAD总市值加权 | 数值 | 0.0171198778 | 0.005975353323 | 0.001592327306 | 0.0675474213 | 0.0000% |
CSSD流通市值加权 | (mean) CSSD流通市值加权 | 数值 | 0.03006887068 | 0.02335873911 | 0.004926961216 | 0.575456085 | 0.0000% |
CSAD流通市值加权 | (mean) CSAD流通市值加权 | 数值 | 0.01704776873 | 0.005878525378 | 0.001790069402 | 0.06953941964 | 0.0000% |
丘知数据分析会员之家 | www.qqrdata.com | 文本 | — | — | — | — | 0.0000% |
数据样本预览
资料样本（部分数据）
仅可预览前100 行、100 列，滚动查看其余行列，完整数据以下载文件为准。
| 交易日期 | year | 等权平均市场收益率 | 总市值加权平均市场收益率 | 流通市值加权平均市场收益率 | CSSD等权 | CSAD等权 | CSSD总市值加权 | CSAD总市值加权 | CSSD流通市值加权 | CSAD流通市值加权 | 丘知数据分析会员之家 |
|---|---|---|---|---|---|---|---|---|---|---|---|
| 2000-01-04 | 2000 | 0.0285935235294 | 0 | 0 | 0.0208623678932 | 0.0146664261038 | 0.0354089110958 | 0.0296392929412 | 0.0354089110958 | 0.0296392929412 | 更多数据尽在丘知数据分析会员之家：www.qqrdata.com |
| 2000-01-05 | 2000 | 0.00495478337237 | 0.00223302136307 | 0.0028500353912 | 0.0218715443808 | 0.0152393200725 | 0.022040442978 | 0.014779007756 | 0.0219727014966 | 0.0148442678589 | 更多数据尽在丘知数据分析会员之家：www.qqrdata.com |
| 2000-01-06 | 2000 | 0.0373279556593 | 0.0407127170807 | 0.041536629247 | 0.0220801755419 | 0.0159756198837 | 0.0223384006977 | 0.0168489825735 | 0.0224781622472 | 0.0171303730406 | 更多数据尽在丘知数据分析会员之家：www.qqrdata.com |
| 2000-01-07 | 2000 | 0.0368968738318 | 0.0367661946978 | 0.0387494978855 | 0.0251647306835 | 0.0187407205651 | 0.025165070383 | 0.0187150732585 | 0.0252329130412 | 0.0191626863823 | 更多数据尽在丘知数据分析会员之家：www.qqrdata.com |
| 2000-01-10 | 2000 | 0.0222954683841 | 0.020372062963 | 0.0207910077488 | 0.0299517447621 | 0.0231488502432 | 0.0300135109533 | 0.022684800746 | 0.0299895493391 | 0.0227792851508 | 更多数据尽在丘知数据分析会员之家：www.qqrdata.com |
| 2000-01-11 | 2000 | -0.0403410761124 | -0.0416052285166 | -0.0407377606588 | 0.0300088656968 | 0.0215728704732 | 0.0300355119017 | 0.0211758928568 | 0.0300114905247 | 0.0214432132328 | 更多数据尽在丘知数据分析会员之家：www.qqrdata.com |
| 2000-01-12 | 2000 | -0.0256891666667 | -0.0274350117314 | -0.0269571604486 | 0.0271338212449 | 0.0184884592075 | 0.0271899942424 | 0.018205591654 | 0.0271634670039 | 0.0182724274866 | 更多数据尽在丘知数据分析会员之家：www.qqrdata.com |
| 2000-01-13 | 2000 | -0.00699872906977 | -0.00833275411389 | -0.00884316834463 | 0.0362982560461 | 0.0164147412358 | 0.0363227901812 | 0.0164021414226 | 0.0363451414717 | 0.0164267815007 | 更多数据尽在丘知数据分析会员之家：www.qqrdata.com |
| 2000-01-14 | 2000 | -0.0108645944056 | -0.0103282387059 | -0.0098904825305 | 0.0215254378698 | 0.015776930347 | 0.0215321268945 | 0.0158555228219 | 0.0215474935122 | 0.0159304740387 | 更多数据尽在丘知数据分析会员之家：www.qqrdata.com |
| 2000-01-17 | 2000 | 0.0186468927739 | 0.0180434931552 | 0.0193262006412 | 0.0246315987207 | 0.0181139915725 | 0.0246389969658 | 0.0179803365594 | 0.0246409750857 | 0.0182826164844 | 更多数据尽在丘知数据分析会员之家：www.qqrdata.com |
| 2000-01-18 | 2000 | -0.0021804941452 | -0.00185854629499 | -0.00297613583631 | 0.0258474843965 | 0.0188785285281 | 0.025849491708 | 0.0189057744602 | 0.0258597416358 | 0.0188321535245 | 更多数据尽在丘知数据分析会员之家：www.qqrdata.com |
| 2000-01-19 | 2000 | 0.0120104428904 | 0.0129255770138 | 0.0136122180104 | 0.0232020780161 | 0.016641006466 | 0.0232201393609 | 0.0168138469795 | 0.0232573666093 | 0.0169702206832 | 更多数据尽在丘知数据分析会员之家：www.qqrdata.com |
| 2000-01-20 | 2000 | 0.0227230732558 | 0.0175394874833 | 0.0194445336914 | 0.106175815195 | 0.0244318437885 | 0.106302420357 | 0.0231742041257 | 0.106226480066 | 0.0235178886821 | 更多数据尽在丘知数据分析会员之家：www.qqrdata.com |
| 2000-01-21 | 2000 | -0.000834122093023 | 0.00258134734294 | 0.00373625058742 | 0.029205567424 | 0.0217902520687 | 0.0294048326007 | 0.0226539031378 | 0.0295614240523 | 0.0230153937945 | 更多数据尽在丘知数据分析会员之家：www.qqrdata.com |
| 2000-01-24 | 2000 | 0.0136241233993 | 0.0127720974391 | 0.0167536105942 | 0.0401566669902 | 0.0328354577906 | 0.040165715456 | 0.0327536969705 | 0.0402785676064 | 0.0331977508698 | 更多数据尽在丘知数据分析会员之家：www.qqrdata.com |
| 2000-01-25 | 2000 | 0.00182885481998 | -0.0014321659923 | -0.00194187796585 | 0.0328529937976 | 0.0253316934742 | 0.033014630448 | 0.025588692336 | 0.0330689304372 | 0.0256496178192 | 更多数据尽在丘知数据分析会员之家：www.qqrdata.com |
| 2000-01-26 | 2000 | 0.00354961511628 | 0.00356298193669 | 0.0032831704385 | 0.0261871406518 | 0.0196872014738 | 0.0261871440672 | 0.0196895328959 | 0.0261884976837 | 0.0196414417256 | 更多数据尽在丘知数据分析会员之家：www.qqrdata.com |
| 2000-01-27 | 2000 | 0.0172234044032 | 0.0176006169353 | 0.0207592274283 | 0.107390254927 | 0.033858530253 | 0.10739091818 | 0.0339591283267 | 0.107448515119 | 0.034910702726 | 更多数据尽在丘知数据分析会员之家：www.qqrdata.com |
| 2000-01-28 | 2000 | 0.0183118174419 | 0.0194147068057 | 0.0209678955821 | 0.0323993876928 | 0.0244847097431 | 0.0324181755169 | 0.0246394710763 | 0.0325082033756 | 0.0249186102689 | 更多数据尽在丘知数据分析会员之家：www.qqrdata.com |
| 2000-02-14 | 2000 | 0.091054516317 | 0.0915099467843 | 0.0923195848723 | 0.0129204343322 | 0.0103199433686 | 0.0129284679011 | 0.0102051936775 | 0.0129822913704 | 0.0100136740851 | 更多数据尽在丘知数据分析会员之家：www.qqrdata.com |
| 2000-02-15 | 2000 | 0.000894603488372 | 0.00397584157378 | 0.00763666402639 | 0.0499346098132 | 0.0423881730233 | 0.0500296945599 | 0.0430432154823 | 0.0503882283289 | 0.0439353632719 | 更多数据尽在丘知数据分析会员之家：www.qqrdata.com |
| 2000-02-16 | 2000 | 0.0216775104408 | 0.0190871505513 | 0.0212278809581 | 0.0506642342077 | 0.0438381218609 | 0.0507304877311 | 0.0435953724282 | 0.0506662316472 | 0.0437877459955 | 更多数据尽在丘知数据分析会员之家：www.qqrdata.com |
| 2000-02-17 | 2000 | -0.0317038839907 | -0.0328324589353 | -0.0365833048117 | 0.058746623777 | 0.0492865654954 | 0.0587574758299 | 0.0491437010101 | 0.0589491493168 | 0.0487624360585 | 更多数据尽在丘知数据分析会员之家：www.qqrdata.com |
| 2000-02-18 | 2000 | 0.0178104871795 | 0.0184669125936 | 0.0206899728321 | 0.0435172211677 | 0.0349039269022 | 0.0435221775108 | 0.0349492617492 | 0.0436124942045 | 0.0351805930002 | 更多数据尽在丘知数据分析会员之家：www.qqrdata.com |
| 2000-02-21 | 2000 | 0.0153533604651 | 0.00433046394027 | 0.00333215163594 | 0.0611465896395 | 0.0467991340454 | 0.0621333334115 | 0.0478369763085 | 0.0623184011038 | 0.0480235474749 | 更多数据尽在丘知数据分析会员之家：www.qqrdata.com |
| 2000-02-22 | 2000 | -0.0303847157773 | -0.0296699547356 | -0.0311284919612 | 0.0399045192235 | 0.030189775736 | 0.0399109274657 | 0.0302134928197 | 0.0399114582543 | 0.03017681794 | 更多数据尽在丘知数据分析会员之家：www.qqrdata.com |
| 2000-02-23 | 2000 | -0.0222346520231 | -0.0260441562596 | -0.0282088966631 | 0.0396491108568 | 0.0299259229456 | 0.0398319107116 | 0.0300807819012 | 0.0400971931745 | 0.0303494689435 | 更多数据尽在丘知数据分析会员之家：www.qqrdata.com |
| 2000-02-24 | 2000 | 0.0260347581019 | 0.0275339893442 | 0.030320891155 | 0.0280099121443 | 0.0211999642007 | 0.0280500530688 | 0.0214674550053 | 0.028336326547 | 0.0221630535001 | 更多数据尽在丘知数据分析会员之家：www.qqrdata.com |
| 2000-02-25 | 2000 | -0.00250485598142 | -0.00183780403419 | -0.000767936436515 | 0.0313917794533 | 0.0230211171436 | 0.0313988740712 | 0.0232179950699 | 0.0314398507433 | 0.0235560384618 | 更多数据尽在丘知数据分析会员之家：www.qqrdata.com |
| 2000-02-28 | 2000 | 0.0430611289566 | 0.0463481161582 | 0.0479470017949 | 0.0313636943224 | 0.0257460744108 | 0.0315356669107 | 0.0263970629796 | 0.0317424178889 | 0.0267757917814 | 更多数据尽在丘知数据分析会员之家：www.qqrdata.com |
| 2000-02-29 | 2000 | 0.00245079113186 | 0.00243694440119 | 0.000845354290703 | 0.0397778745081 | 0.0316268034567 | 0.039777876921 | 0.0316249130629 | 0.0398102968948 | 0.0314231452648 | 更多数据尽在丘知数据分析会员之家：www.qqrdata.com |
| 2000-03-01 | 2000 | 0.000353047563805 | -0.00816194894137 | -0.00847542846459 | 0.0499081878272 | 0.0300885191079 | 0.0506301944307 | 0.0300724978185 | 0.0506839197985 | 0.0301005596522 | 更多数据尽在丘知数据分析会员之家：www.qqrdata.com |
| 2000-03-02 | 2000 | 0.00796958823529 | 0.00752311386784 | 0.00784072125882 | 0.0312753231552 | 0.0237210395549 | 0.0312785135198 | 0.0236478175636 | 0.0312755889527 | 0.0236994874078 | 更多数据尽在丘知数据分析会员之家：www.qqrdata.com |
| 2000-03-03 | 2000 | 0.0154876251442 | 0.013026392442 | 0.0131498389438 | 0.0303022438882 | 0.0221915768676 | 0.0304021487081 | 0.0219355909679 | 0.0303923927963 | 0.0219437249108 | 更多数据尽在丘知数据分析会员之家：www.qqrdata.com |
| 2000-03-06 | 2000 | -0.0360824196532 | -0.0364199851692 | -0.0403253105309 | 0.0382261386755 | 0.0297638719129 | 0.03822763085 | 0.0297395074043 | 0.0384611575076 | 0.029647087624 | 更多数据尽在丘知数据分析会员之家：www.qqrdata.com |
| 2000-03-07 | 2000 | 0.00782905184332 | 0.0104373139115 | 0.0103950756167 | 0.0297911798542 | 0.0215213175025 | 0.0299052716883 | 0.0218102170925 | 0.0299016131615 | 0.0218037937574 | 更多数据尽在丘知数据分析会员之家：www.qqrdata.com |
| 2000-03-08 | 2000 | 0.0175485449309 | 0.0184784975519 | 0.0198825048891 | 0.0268765347236 | 0.0200376619487 | 0.0268926370611 | 0.0201835606425 | 0.0269778014457 | 0.0204704135351 | 更多数据尽在丘知数据分析会员之家：www.qqrdata.com |
| 2000-03-09 | 2000 | 0.00333904493088 | 0.000766371744926 | -0.000640213577756 | 0.0927951891291 | 0.0258269791937 | 0.0928308860606 | 0.0250520362619 | 0.0928805678672 | 0.0246898933527 | 更多数据尽在丘知数据分析会员之家：www.qqrdata.com |
| 2000-03-10 | 2000 | -0.0152118568129 | -0.0138430460591 | -0.0141856433735 | 0.0274815585308 | 0.0193766668445 | 0.0275156658692 | 0.0197013595917 | 0.027500734368 | 0.019612012076 | 更多数据尽在丘知数据分析会员之家：www.qqrdata.com |
| 2000-03-13 | 2000 | 0.0185291751152 | 0.0159947234702 | 0.0151345690047 | 0.0271128804952 | 0.0196788682813 | 0.0272312163281 | 0.0193103096446 | 0.0273248043077 | 0.0192416285579 | 更多数据尽在丘知数据分析会员之家：www.qqrdata.com |
| 2000-03-14 | 2000 | -0.0182945765247 | -0.0239866036545 | -0.0214604279536 | 0.0320254936205 | 0.0227504730117 | 0.0325279685919 | 0.022106756301 | 0.0321817712952 | 0.0222042854303 | 更多数据尽在丘知数据分析会员之家：www.qqrdata.com |
| 2000-03-15 | 2000 | 0.00714387571922 | 0.000907371510794 | 0.00125731449292 | 0.0296196184165 | 0.0220137725809 | 0.0302697966399 | 0.022800548723 | 0.0301995582652 | 0.0227203570804 | 更多数据尽在丘知数据分析会员之家：www.qqrdata.com |
| 2000-03-16 | 2000 | -0.0458670913295 | -0.0461312758806 | -0.0472657475233 | 0.0496246432405 | 0.0198766727629 | 0.0496253472633 | 0.0198331221417 | 0.0496443724913 | 0.0196857150062 | 更多数据尽在丘知数据分析会员之家：www.qqrdata.com |
| 2000-03-17 | 2000 | 0.033049300578 | 0.0338208111644 | 0.0358784496817 | 0.0237953710286 | 0.0176887438137 | 0.0238078894465 | 0.0178485502109 | 0.0239631598715 | 0.0183936019293 | 更多数据尽在丘知数据分析会员之家：www.qqrdata.com |
| 2000-03-20 | 2000 | 0.0316951602787 | 0.0276529998699 | 0.0274097642327 | 0.030844093613 | 0.0230447422453 | 0.0311081367248 | 0.0226845133537 | 0.0311407142546 | 0.0226807693456 | 更多数据尽在丘知数据分析会员之家：www.qqrdata.com |
| 2000-03-21 | 2000 | 0.00965984411085 | 0.00743330843142 | 0.00619314900072 | 0.0293138388934 | 0.0217198842065 | 0.0293983731347 | 0.0215162968111 | 0.0295183505513 | 0.0214658141871 | 更多数据尽在丘知数据分析会员之家：www.qqrdata.com |
| 2000-03-22 | 2000 | 0.00620870344828 | 0.00667300389851 | 0.00801301930583 | 0.0268162213183 | 0.0199746450892 | 0.0268202451289 | 0.020043639672 | 0.0268769237048 | 0.0202807279547 | 更多数据尽在丘知数据分析会员之家：www.qqrdata.com |
| 2000-03-23 | 2000 | 0.0212799367089 | 0.0155161396041 | 0.016806379743 | 0.0672864927465 | 0.0217284376921 | 0.0675331898894 | 0.0205901124851 | 0.0674352124203 | 0.0207419783974 | 更多数据尽在丘知数据分析会员之家：www.qqrdata.com |
| 2000-03-24 | 2000 | -0.00874291666667 | -0.009395878394 | -0.00944959366682 | 0.0303975380646 | 0.0220554508102 | 0.0304045584321 | 0.0219369400936 | 0.0304057608266 | 0.0219276145254 | 更多数据尽在丘知数据分析会员之家：www.qqrdata.com |
| 2000-03-27 | 2000 | 0.0354529478563 | 0.0278634380126 | 0.0283928606128 | 0.0323660252794 | 0.0255023986632 | 0.0332449556199 | 0.0253664193524 | 0.0331279677751 | 0.0253261755534 | 更多数据尽在丘知数据分析会员之家：www.qqrdata.com |
| 2000-03-28 | 2000 | 0.00978833256083 | 0.00924529139068 | 0.00818424793377 | 0.0318704663409 | 0.025354570021 | 0.0318750978133 | 0.0253015896342 | 0.0319108554774 | 0.0252213066374 | 更多数据尽在丘知数据分析会员之家：www.qqrdata.com |
| 2000-03-29 | 2000 | -0.00391183926521 | -0.00291616784825 | -0.00351455699519 | 0.0295174782651 | 0.0220873337138 | 0.0295342855712 | 0.0223247388943 | 0.0295201547718 | 0.0221789629185 | 更多数据尽在丘知数据分析会员之家：www.qqrdata.com |
| 2000-03-30 | 2000 | 0.0178300092486 | 0.0120715109408 | 0.0115999736154 | 0.0820897146629 | 0.0227070640623 | 0.0822916759836 | 0.0216933814687 | 0.0823260561444 | 0.0216740845426 | 更多数据尽在丘知数据分析会员之家：www.qqrdata.com |
| 2000-03-31 | 2000 | -0.00695846835443 | -0.00746503181417 | -0.00874751108181 | 0.0292250247361 | 0.0221483523328 | 0.0292294196486 | 0.0220300734866 | 0.0292797956298 | 0.0217544919891 | 更多数据尽在丘知数据分析会员之家：www.qqrdata.com |
| 2000-04-03 | 2000 | -0.000377646581692 | -0.000833077937959 | -0.00300435233816 | 0.0297263413875 | 0.0205668314095 | 0.0297298340162 | 0.0205308635525 | 0.0298423015127 | 0.0204529120791 | 更多数据尽在丘知数据分析会员之家：www.qqrdata.com |
| 2000-04-04 | 2000 | -0.0237439277523 | -0.0226587893635 | -0.0219686282949 | 0.0274104557917 | 0.0203869400145 | 0.0274319515156 | 0.0205881203149 | 0.0274679521141 | 0.020742606454 | 更多数据尽在丘知数据分析会员之家：www.qqrdata.com |
| 2000-04-05 | 2000 | 0.00997442050691 | 0.00704942832378 | 0.00722379875268 | 0.024303370758 | 0.0168000592867 | 0.024478955809 | 0.0166013385485 | 0.0244587096304 | 0.0165996808756 | 更多数据尽在丘知数据分析会员之家：www.qqrdata.com |
| 2000-04-06 | 2000 | 0.0273206121979 | 0.0218708935827 | 0.0214795214713 | 0.0693312338363 | 0.0188350442541 | 0.0695453351001 | 0.0178438901639 | 0.069577134412 | 0.0178397427831 | 更多数据尽在丘知数据分析会员之家：www.qqrdata.com |
| 2000-04-07 | 2000 | 0.00807649255441 | 0.00720783596419 | 0.00663157737085 | 0.0257797867038 | 0.0191657304393 | 0.0257944341301 | 0.019067387254 | 0.0258202938912 | 0.0190090480204 | 更多数据尽在丘知数据分析会员之家：www.qqrdata.com |
| 2000-04-10 | 2000 | 0.00710950352113 | 0.00542209900535 | 0.00494918265825 | 0.0251591273838 | 0.0191184510266 | 0.0252157167375 | 0.0190093189814 | 0.0252518150054 | 0.0189975925195 | 更多数据尽在丘知数据分析会员之家：www.qqrdata.com |
| 2000-04-11 | 2000 | -0.00510682448037 | -0.00216761795724 | -0.000839217800481 | 0.0279510165506 | 0.0218743870307 | 0.0281053064101 | 0.0224433941711 | 0.0282753045582 | 0.0227610670715 | 更多数据尽在丘知数据分析会员之家：www.qqrdata.com |
| 2000-04-12 | 2000 | -0.00749880023095 | -0.00853159114509 | -0.0103409946753 | 0.0245389926763 | 0.0179198620932 | 0.0245607420851 | 0.0178026971229 | 0.0247032299434 | 0.0176832968651 | 更多数据尽在丘知数据分析会员之家：www.qqrdata.com |
| 2000-04-13 | 2000 | 0.0108930366133 | 0.0126673818506 | 0.0111516581635 | 0.0224381534619 | 0.0157648534422 | 0.0225082793235 | 0.0162571311523 | 0.022439645552 | 0.015829843016 | 更多数据尽在丘知数据分析会员之家：www.qqrdata.com |
| 2000-04-14 | 2000 | -0.00117786827033 | -0.000291032948444 | -0.00148478098572 | 0.0257561969548 | 0.0186083525099 | 0.0257714776524 | 0.0188245941791 | 0.0257580275839 | 0.0185391549482 | 更多数据尽在丘知数据分析会员之家：www.qqrdata.com |
| 2000-04-17 | 2000 | -0.0205925093023 | -0.0218339080448 | -0.022883911429 | 0.0314187576198 | 0.0224084183342 | 0.0314433012777 | 0.0220899562686 | 0.0315023009706 | 0.0218625392624 | 更多数据尽在丘知数据分析会员之家：www.qqrdata.com |
| 2000-04-18 | 2000 | 0.0117271206089 | 0.0107843871274 | 0.0104054006331 | 0.0220008841423 | 0.0151355811911 | 0.0220210965069 | 0.0150558764462 | 0.022040596515 | 0.0150416335043 | 更多数据尽在丘知数据分析会员之家：www.qqrdata.com |
| 2000-04-19 | 2000 | 0.00930353775744 | 0.007446664903 | 0.00849015199148 | 0.0227126833727 | 0.0162319850866 | 0.0227885478335 | 0.0159784651403 | 0.0227272598488 | 0.0160952720353 | 更多数据尽在丘知数据分析会员之家：www.qqrdata.com |
| 2000-04-20 | 2000 | 0.0153143302433 | 0.00884645795124 | 0.00751166138408 | 0.168030266787 | 0.0259839360204 | 0.168154846671 | 0.0237237944807 | 0.168211541893 | 0.0234820478778 | 更多数据尽在丘知数据分析会员之家：www.qqrdata.com |
| 2000-04-21 | 2000 | -0.00472931062356 | -0.00475012546537 | -0.00436127913732 | 0.0252701951635 | 0.0182059317453 | 0.0252702037459 | 0.0182025235968 | 0.0252728780981 | 0.0182693520743 | 更多数据尽在丘知数据分析会员之家：www.qqrdata.com |
| 2000-04-24 | 2000 | -0.00126699071926 | -0.00279407209822 | -0.00392772529329 | 0.0274667491259 | 0.0208144883587 | 0.0275092165198 | 0.0206568260881 | 0.0275954713394 | 0.0205637147687 | 更多数据尽在丘知数据分析会员之家：www.qqrdata.com |
| 2000-04-25 | 2000 | -0.00217028904429 | -0.000717779217739 | -0.001481367289 | 0.0228514693528 | 0.0169651289713 | 0.0228976395771 | 0.0170859182639 | 0.0228618638474 | 0.017015110751 | 更多数据尽在丘知数据分析会员之家：www.qqrdata.com |
| 2000-04-26 | 2000 | -0.00124436658933 | -0.000441457889684 | 0.000205820241358 | 0.0195309361241 | 0.0136492075086 | 0.0195474519312 | 0.0137321989138 | 0.0195847632175 | 0.0138273085356 | 更多数据尽在丘知数据分析会员之家：www.qqrdata.com |
| 2000-04-27 | 2000 | -0.0118067474286 | -0.013237397821 | -0.0112467091773 | 0.0700824006773 | 0.0202095803638 | 0.0700970183893 | 0.0199000650866 | 0.0700846408737 | 0.0203553983982 | 更多数据尽在丘知数据分析会员之家：www.qqrdata.com |
| 2000-04-28 | 2000 | 0.0167180095238 | 0.0196989850353 | 0.0205773504834 | 0.0217097662469 | 0.0154676637642 | 0.0219137116193 | 0.0162205096538 | 0.0220505377675 | 0.0165036882564 | 更多数据尽在丘知数据分析会员之家：www.qqrdata.com |
| 2000-05-08 | 2000 | 0.0028789369697 | 0.00137511790679 | 0.00118354076981 | 0.0277752797787 | 0.0208974333326 | 0.0278160094741 | 0.0207068472307 | 0.0278270376319 | 0.0206856135879 | 更多数据尽在丘知数据分析会员之家：www.qqrdata.com |
| 2000-05-09 | 2000 | -0.0132875920746 | -0.0151956790768 | -0.0162705308764 | 0.023050576149 | 0.0173059439092 | 0.0231295072389 | 0.016967614397 | 0.0232430068481 | 0.0168468667289 | 更多数据尽在丘知数据分析会员之家：www.qqrdata.com |
| 2000-05-10 | 2000 | -0.0341211650943 | -0.0327174371337 | -0.0320549677717 | 0.0204668970322 | 0.015413278847 | 0.0205150347965 | 0.0155876627911 | 0.0205710497021 | 0.0156928002841 | 更多数据尽在丘知数据分析会员之家：www.qqrdata.com |
| 2000-05-11 | 2000 | -0.0152124656751 | -0.0188151101183 | -0.0185154083637 | 0.095323909266 | 0.0220993334363 | 0.0953920415544 | 0.0216676886919 | 0.095381180558 | 0.0216799274391 | 更多数据尽在丘知数据分析会员之家：www.qqrdata.com |
| 2000-05-12 | 2000 | -0.00106682938389 | -0.000795098167429 | -0.00110214342899 | 0.0211673274816 | 0.0145181213697 | 0.0211690736254 | 0.014529206248 | 0.0211673569742 | 0.0145171509695 | 更多数据尽在丘知数据分析会员之家：www.qqrdata.com |
| 2000-05-15 | 2000 | -0.00896660278746 | -0.0106430489163 | -0.0110866716189 | 0.025896743258 | 0.0194179482087 | 0.0259510125233 | 0.0193231690841 | 0.0259834799365 | 0.0193117835217 | 更多数据尽在丘知数据分析会员之家：www.qqrdata.com |
| 2000-05-16 | 2000 | 0.014361875 | 0.0129067146301 | 0.0132357417879 | 0.0176320716989 | 0.0114813530958 | 0.0176920863862 | 0.0114057157797 | 0.0176680392702 | 0.011404912833 | 更多数据尽在丘知数据分析会员之家：www.qqrdata.com |
| 2000-05-17 | 2000 | -0.000918205714286 | 0.000504702390339 | 0.000969297610748 | 0.0158655972527 | 0.011145614498 | 0.0159293490203 | 0.0113229436344 | 0.0159776068692 | 0.0114146231411 | 更多数据尽在丘知数据分析会员之家：www.qqrdata.com |
| 2000-05-18 | 2000 | 0.0265547 | 0.0222971288059 | 0.0223810699582 | 0.0820156524437 | 0.0167474654762 | 0.0821262184909 | 0.015829660193 | 0.0821219044795 | 0.0158379690671 | 更多数据尽在丘知数据分析会员之家：www.qqrdata.com |
| 2000-05-19 | 2000 | 0.015231165127 | 0.0133541311515 | 0.0134386924724 | 0.0205740302564 | 0.0146420639104 | 0.0206595752779 | 0.0142589444409 | 0.0206520554331 | 0.0142730054458 | 更多数据尽在丘知数据分析会员之家：www.qqrdata.com |
| 2000-05-22 | 2000 | 0.0282251801386 | 0.0269983549192 | 0.0264287229435 | 0.0222034158363 | 0.0155343284353 | 0.0222373225663 | 0.015315829781 | 0.022276055849 | 0.0152448030053 | 更多数据尽在丘知数据分析会员之家：www.qqrdata.com |
| 2000-05-23 | 2000 | 0.00341874167623 | 0.00244211841389 | 0.00107556166735 | 0.0241806923972 | 0.0181346845504 | 0.0242004292136 | 0.0179430758492 | 0.0242940875168 | 0.0177103772427 | 更多数据尽在丘知数据分析会员之家：www.qqrdata.com |
| 2000-05-24 | 2000 | 0.0123023625998 | 0.0121709136228 | 0.0138652740928 | 0.0242795173041 | 0.0172050451017 | 0.0242798735392 | 0.0171801034752 | 0.024329826167 | 0.0175490452348 | 更多数据尽在丘知数据分析会员之家：www.qqrdata.com |
| 2000-05-25 | 2000 | 0.0202630918485 | 0.0132452626463 | 0.0136231996366 | 0.103128500486 | 0.0233926325047 | 0.103367277938 | 0.0218849858185 | 0.103342278169 | 0.0219188768859 | 更多数据尽在丘知数据分析会员之家：www.qqrdata.com |
| 2000-05-26 | 2000 | 0.00210974117647 | 0.000782593179554 | 0.000658309090206 | 0.082712270765 | 0.0227140581592 | 0.0827229299015 | 0.0223756976572 | 0.0827250196225 | 0.0223464712726 | 更多数据尽在丘知数据分析会员之家：www.qqrdata.com |
| 2000-05-29 | 2000 | 0.0147014312139 | 0.0105293607541 | 0.00998692132819 | 0.0997270534132 | 0.0250853010632 | 0.099814385238 | 0.0237796836966 | 0.0998385572371 | 0.0236520549152 | 更多数据尽在丘知数据分析会员之家：www.qqrdata.com |
| 2000-05-30 | 2000 | -0.0118798972286 | -0.0116546026548 | -0.0110916050806 | 0.026039169752 | 0.0198605290017 | 0.0260401455007 | 0.0199097289726 | 0.0260511129181 | 0.0200383795877 | 更多数据尽在丘知数据分析会员之家：www.qqrdata.com |
| 2000-05-31 | 2000 | 0.00926864358683 | 0.00780474631757 | 0.00643111824842 | 0.0251944269602 | 0.0178769552863 | 0.0252369685242 | 0.0176806651068 | 0.0253538921941 | 0.0175900081643 | 更多数据尽在丘知数据分析会员之家：www.qqrdata.com |
| 2000-06-01 | 2000 | 0.00935694018059 | 0.00485854245194 | 0.00499510300719 | 0.104474277988 | 0.0224167146431 | 0.104571187276 | 0.0212969680458 | 0.104565395244 | 0.0213176216738 | 更多数据尽在丘知数据分析会员之家：www.qqrdata.com |
| 2000-06-02 | 2000 | 0.00668228571429 | 0.00673060803429 | 0.00561426729639 | 0.0686120984765 | 0.0204147038406 | 0.0686121155119 | 0.0204261906764 | 0.0686204197394 | 0.0201863383317 | 更多数据尽在丘知数据分析会员之家：www.qqrdata.com |
| 2000-06-05 | 2000 | -0.0104969775533 | -0.00988390113649 | -0.00809029242862 | 0.0263718437125 | 0.0196920242858 | 0.0263789769667 | 0.0197481411884 | 0.0264815555076 | 0.0199731390991 | 更多数据尽在丘知数据分析会员之家：www.qqrdata.com |
| 2000-06-06 | 2000 | 0.0166478215488 | 0.0153697896282 | 0.0161550035996 | 0.0222612284394 | 0.0155382260389 | 0.0222979257435 | 0.0154840533416 | 0.0222666888883 | 0.0155100068916 | 更多数据尽在丘知数据分析会员之家：www.qqrdata.com |
| 2000-06-07 | 2000 | 0.00458996850394 | 0.00375385548142 | 0.00280493389902 | 0.0220394400382 | 0.0161220262881 | 0.0220553120459 | 0.016003257546 | 0.0221116904367 | 0.0159020579456 | 更多数据尽在丘知数据分析会员之家：www.qqrdata.com |
| 2000-06-08 | 2000 | 0.00362179213483 | -0.00702801337695 | -0.00779461900566 | 0.155230497505 | 0.0296596601313 | 0.155595801013 | 0.0262142862991 | 0.155650211715 | 0.0260796147204 | 更多数据尽在丘知数据分析会员之家：www.qqrdata.com |
| 2000-06-09 | 2000 | -0.0100180832396 | -0.0124756691099 | -0.0118794817555 | 0.0739915399608 | 0.0185562642698 | 0.0740323882877 | 0.0181585483118 | 0.0740149761333 | 0.0182240118803 | 更多数据尽在丘知数据分析会员之家：www.qqrdata.com |
| 2000-06-12 | 2000 | 0.00677728426966 | 0.00492454448009 | 0.0038593125375 | 0.0405267955592 | 0.0178397607095 | 0.040569171353 | 0.0175432678192 | 0.0406318261343 | 0.0174564935415 | 更多数据尽在丘知数据分析会员之家：www.qqrdata.com |
代码公开披露
仅展示前 30 行，供了解变量构造与处理流程，完整代码请下载文件查看。
///更多stata学习资料尽在丘知数据分析会员之家，网址：www.qqrdata.com
use 日个股回报率.dta, clear
//更多数据尽在丘知数据分析会员之家：www.qqrdata.com
//计算等权平均市场收益率
bys 交易日期: egen 等权平均市场收益率=mean(考虑现金红利再投资的日个股回报率)
///更多stata学习资料尽在丘知数据分析会员之家，网址：www.qqrdata.com
//计算总市值加权平均市场收益率，使用t-1日的总市值加权
sort stkcd 交易日期
bys stkcd: gen 上一日个股总市值=日个股总市值[_n-1]
bys 交易日期: egen 总市值比例=pc(上一日个股总市值), prop
bys 交易日期: egen 总市值加权平均市场收益率=sum(考虑现金红利再投资的日个股回报率*总市值比例)
//更多数据尽在丘知数据分析会员之家：www.qqrdata.com
//计算流通市值加权平均市场收益率
sort stkcd 交易日期
bys stkcd: gen 上一日个股流通市值=日个股流通市值[_n-1]
bys 交易日期: egen 流通市值比例=pc(上一日个股流通市值), prop
bys 交易日期: egen 流通市值加权平均市场收益率=sum(考虑现金红利再投资的日个股回报率*流通市值比例)
///更多stata学习资料尽在丘知数据分析会员之家，网址：www.qqrdata.com
//注意：这里计算的三种CSSD和CSAD的区别就在于，平均市场收益率计算的差别，直接平均为等权，加权平均为加权。
foreach i in 等权 总市值加权 流通市值加权 {
* 计算CSSD
bysort 交易日期: egen Ri_Rm2_sum=sum((考虑现金红利再投资的日个股回报率-`i'平均市场收益率)^2)
bysort 交易日期: gen CSSD`i'=sqrt(Ri_Rm2_sum/(_N-1))
* 计算CSAD