本文關(guān)鍵詞：中美股市投資組合規(guī)模的風(fēng)險(xiǎn)變動(dòng)規(guī)律的實(shí)證研究　出處：《武漢科技大學(xué)》2013年碩士論文　論文類型：學(xué)位論文

  更多相關(guān)文章： 投資組合 規(guī)模風(fēng)險(xiǎn)構(gòu)成 系統(tǒng)性風(fēng)險(xiǎn) 投資組合方法 實(shí)證研究

【摘要】：隨著經(jīng)濟(jì)全球一體化進(jìn)程加快，技術(shù)手段科技水平飛速發(fā)展，使越來(lái)越多的投資者試圖通過(guò)跨國(guó)投資證券市場(chǎng)的方式來(lái)分散投資風(fēng)險(xiǎn)，然而要衡量這種跨國(guó)組合投資事實(shí)上降低風(fēng)險(xiǎn)的效果究竟如何是有困難的�？鐕�(guó)投資涉及到多方面的因素，通過(guò)改變投資規(guī)模來(lái)降低風(fēng)險(xiǎn)是最直接最簡(jiǎn)單的途徑，但是隨著投資規(guī)模的增大，，相應(yīng)的投資管理費(fèi)用也在增加，這就要求投資者了解投資的適度規(guī)模、知道隨著投資規(guī)模、投資比例的改變風(fēng)險(xiǎn)的變動(dòng)規(guī)律，才能做到最有利的投資，也是投資者最基本的理性要求，所以隨著投資規(guī)模的增大風(fēng)險(xiǎn)的變動(dòng)規(guī)律已經(jīng)成為有關(guān)人員和機(jī)構(gòu)必須要回答的問(wèn)題。 本文通過(guò)選取中美兩國(guó)股市各40支業(yè)績(jī)好、行業(yè)廣的股票歷時(shí)3年的周收益率作為樣本數(shù)據(jù)，采用簡(jiǎn)單等權(quán)組合法分別計(jì)算中美股市不同組合規(guī)模下的組合收益率和組合風(fēng)險(xiǎn)，根據(jù)組合規(guī)模和風(fēng)險(xiǎn)進(jìn)行回歸，得到了組合規(guī)模的回歸模型，分別計(jì)算他們的系統(tǒng)風(fēng)險(xiǎn)和非系統(tǒng)風(fēng)險(xiǎn)，進(jìn)行對(duì)比分析，得出中國(guó)股市和美國(guó)股市的投資適度規(guī)模，并根據(jù)具體指標(biāo)對(duì)中、美股市進(jìn)行比對(duì)分析并給出簡(jiǎn)單建議。然后從中、美股市樣本股票中隨機(jī)各選20支股票組合投資中美股市并計(jì)算不同規(guī)模下的組合收益率和組合風(fēng)險(xiǎn)，同樣根據(jù)組合規(guī)模和風(fēng)險(xiǎn)進(jìn)行回歸得到組合規(guī)模風(fēng)險(xiǎn)的回歸模型，運(yùn)用馬科維茨（Markowitz）投資理論進(jìn)行計(jì)算組合投資的系統(tǒng)風(fēng)險(xiǎn)和非系統(tǒng)風(fēng)險(xiǎn)，針對(duì)相關(guān)指標(biāo)進(jìn)行市場(chǎng)分析，得出中美股市組合投資的適度規(guī)模，并得出中美組合投資可以降低非系統(tǒng)風(fēng)險(xiǎn)增加收益以及中美組合投資可以降低少量的系統(tǒng)風(fēng)險(xiǎn)的結(jié)論。 本文在研究的深度和廣度上有一定的局限性，但是也是對(duì)跨國(guó)股市投資是一種有益的探索和積極的嘗試。
[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.
【學(xué)位授予單位】：武漢科技大學(xué)
【學(xué)位級(jí)別】：碩士
【學(xué)位授予年份】：2013
【分類號(hào)】：F832.51;F837.12

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