基于市场动态联动性分析的全球股票市场资产最优配置研究

发布时间：2018-02-03 01:06

本文关键词： 全球化资产配置 DCC-GJR-GARCH模型动态联动性分析聚类分析均值-CVaR模型　出处：《河北师范大学》2017年硕士论文　论文类型：学位论文

【摘要】：国际化资产配置既可以降低国家层面的风险,又可以对冲掉某些特质风险。经济的全球化、政策的开放、财富的积累、投融资渠道的拓宽,让更多的投资者有机会参与到国际资本市场的投资。投资者,尤其是资产高净值的投资者或机构投资者,要达到稳健增值的目标,更需要通过合理的海外资产配置,降低自身资产与国内资产间的相关性来获得稳健收益。本文以股票市场为例,研究基于全球不同市场、不同行业间动态联动性分析的国际化最优资产配置策略。全文共分六部分,主要内容如下:引言中介绍了研究背景及意义,梳理了国内外相关研究文献,提出了本文的研究内容、研究思路、重点难点及创新点等。第二部分介绍了全球股票市场联动性分析的理论基础与相关模型。较为主流的分析市场间联动效应的理论有经济基础假说和市场传染假说;相关模型有单变量和多变量GARCH族模型。通过对模型的分析,确定适合分析中国股票市场与国际股票市场间动态联动性的模型——DCC-GJR-GARCH模型。第三部分基于“市场分散化策略”,构建DCC-GJR-GARCH模型分析中国股票市场的国际联动性,依据各国(地区)市场间的动态相关关系,筛选出适合投资的国际股票市场。第四部分基于“行业分散化策略”,以均值、方差、偏度、峰度及中位数这五个描述行业收益率分布的特征为聚类指标,对筛选出的国际股票市场分行业进行聚类分析,选择各项指标表现均较好的类中的股票进入资产池。第五部分利用均值-CVaR模型控制投资风险,实现资产的国际化最优配置,并从构建的四个典型投资组合中挑选出最具优势的组合,与业绩基准进行样本外滚动窗口对比,进一步验证本文提出的资产最优配置策略的有效性。第六部分总结了本文的主要工作,并对未来研究做出展望。
[Abstract]:The international asset allocation can not only reduce the risk at the national level, but also hedge against some special risks, such as the globalization of economy, the opening of policy, the accumulation of wealth, and the widening of investment and financing channels. Let more investors have the opportunity to participate in the international capital market investment. Investors, especially those with high net worth or institutional investors, should achieve the goal of steady increase in value. It is more necessary to obtain stable returns by rational overseas asset allocation and reduce the correlation between their own assets and domestic assets. This paper takes the stock market as an example to study the different markets around the world. The paper is divided into six parts. The main contents are as follows: the introduction introduces the research background and significance, combs the domestic and foreign related research literature. Put forward the research content of this paper, research ideas. The second part introduces the theoretical basis and related models of the linkage analysis of global stock market. The main theories to analyze the intermarket linkage effect are the hypothesis of economic base and the hypothesis of market contagion. ; There are univariate and multivariable GARCH family models. The DCC-GJR-GARCH model, which is suitable for analyzing the dynamic interaction between the Chinese stock market and the international stock market, is determined. The third part is based on the "market decentralization strategy". The DCC-GJR-GARCH model is constructed to analyze the international linkage of Chinese stock market, according to the dynamic correlation between the countries (regions). Selected suitable international stock market. 4th based on the "industry diversification strategy", with the mean, variance, skewness, kurtosis and median to describe the distribution of industry returns for the five characteristics of clustering indicators. Cluster analysis of the selected international stock market by industry, select the better performance of the various categories of stocks into the asset pool. 5th part of the use of the mean value-CVaR model to control investment risk. To achieve the optimal allocation of assets internationally, and select the most advantageous portfolio from the four typical investment portfolios, and compare with the performance benchmark outside the sample rolling window. Further verify the effectiveness of the proposed optimal asset allocation strategy. Part 6th summarizes the main work of this paper and prospects for future research.
【学位授予单位】：河北师范大学
【学位级别】：硕士
【学位授予年份】：2017
【分类号】：F224;F831.51

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