中美股市投资组合规模的风险变动规律的实证研究

发布时间：2018-01-09 17:58

本文关键词：中美股市投资组合规模的风险变动规律的实证研究　出处：《武汉科技大学》2013年硕士论文　论文类型：学位论文

【摘要】：随着经济全球一体化进程加快，技术手段科技水平飞速发展，使越来越多的投资者试图通过跨国投资证券市场的方式来分散投资风险，然而要衡量这种跨国组合投资事实上降低风险的效果究竟如何是有困难的。跨国投资涉及到多方面的因素，通过改变投资规模来降低风险是最直接最简单的途径，但是随着投资规模的增大，，相应的投资管理费用也在增加，这就要求投资者了解投资的适度规模、知道随着投资规模、投资比例的改变风险的变动规律，才能做到最有利的投资，也是投资者最基本的理性要求，所以随着投资规模的增大风险的变动规律已经成为有关人员和机构必须要回答的问题。本文通过选取中美两国股市各40支业绩好、行业广的股票历时3年的周收益率作为样本数据，采用简单等权组合法分别计算中美股市不同组合规模下的组合收益率和组合风险，根据组合规模和风险进行回归，得到了组合规模的回归模型，分别计算他们的系统风险和非系统风险，进行对比分析，得出中国股市和美国股市的投资适度规模，并根据具体指标对中、美股市进行比对分析并给出简单建议。然后从中、美股市样本股票中随机各选20支股票组合投资中美股市并计算不同规模下的组合收益率和组合风险，同样根据组合规模和风险进行回归得到组合规模风险的回归模型，运用马科维茨（Markowitz）投资理论进行计算组合投资的系统风险和非系统风险，针对相关指标进行市场分析，得出中美股市组合投资的适度规模，并得出中美组合投资可以降低非系统风险增加收益以及中美组合投资可以降低少量的系统风险的结论。本文在研究的深度和广度上有一定的局限性，但是也是对跨国股市投资是一种有益的探索和积极的尝试。
[Abstract]:With the acceleration of economic globalization and the rapid development of technology, more and more investors try to spread the investment risk through the way of transnational investment securities market. However, it is difficult to measure the effectiveness of such cross-border portfolio investment in reducing risk. There are many factors involved in transnational investment. It is the most direct and simplest way to reduce the risk by changing the investment scale, but with the increase of the investment scale, the corresponding investment management costs are also increasing, which requires investors to understand the appropriate scale of investment. Knowing that with the investment scale and investment proportion changing the risk change law, we can achieve the most favorable investment, but also the most basic rational requirements of investors. Therefore, with the increase of investment scale, the law of risk change has become a question that must be answered by relevant personnel and institutions. This paper selects 40 stock markets of China and the United States each with good performance and a wide range of industry stocks to take the weekly rate of return for three years as the sample data. Using the simple equal weight combination method to calculate the return rate of portfolio and the risk of portfolio under different portfolio sizes of Chinese and American stock markets respectively. According to the regression model of portfolio size and risk, the regression model of portfolio size is obtained. Separately calculate their systematic risk and non-systematic risk, carry on the contrast analysis, draw the Chinese stock market and the American stock market investment appropriate scale, and according to the concrete index alignment. Then from the sample stock market, 20 stocks were randomly selected to invest in the U. S. stock market, and the return rate of portfolio and portfolio risk were calculated under different scales. According to the regression of portfolio size and risk, the regression model of portfolio scale risk is obtained, and the system risk and non-system risk of portfolio investment are calculated by using Markowitz Markowitz investment theory. According to the relevant indicators of the market analysis, the appropriate size of the Sino-US stock market portfolio investment. It is concluded that Chinese and American portfolio investment can reduce the non-systematic risk and increase the return, and that the Sino-US portfolio investment can reduce a small amount of systematic risk. This paper has some limitations on the depth and breadth of the research, but it is also a beneficial exploration and positive attempt to transnational stock market investment.
【学位授予单位】：武汉科技大学
【学位级别】：硕士
【学位授予年份】：2013
【分类号】：F832.51;F837.12

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