中国内地股市与世界部分股市相关性的变化对投资组合的影响.pdfVIP

中文摘要 经济活动全球化与金融自由化，加速国际贸易活动规模扩大、跨国资金移动与国际套 利活动频繁，因而促使了各国资本市场彼此间的互动性急速攀升。随着国际政治与经济活 动相关性日益密切，投资者在构建投资组合时除考虑国内因素，国际因素也扮演很重要的 角色。 国际资本市场一体化从上世纪 80 年代以来就已经是国际金融业发展的一大趋势，随 着中国加入WTO，国内金融市场将逐步放松管制和股票在世界范围内的交叉上市，2002年 12月国内开放了QFII，而QDII也正式试点，因此对投资者来说，仅仅局限在中国内地股 票市场上通过股票组合来降低风险是远远不够的。而且在欧洲国家，投资组合的国际多样 化已经具有长期的传统，虽然在美国、日本等其他国家还算是一个较新的概念，不过通过 国际范围来分散投资从而降低风险已经形成了一种趋势。中国已经是WTO中的成员国，应 通过投资组合的国际多样化来降低风险，提高投资收益。 本文在中国内地股票市场和世界部分股票市场挑几种代表性的股票指数作为具体样 本，分阶段的计算出其相关性变化，探究随着中国的对外开放程度的扩大是否使内地股票 指数与世界其他股票指数相关性提高,从而影响内地投资者组建分散化的投资组合，并根 据马科维茨投资组合理论计算各个阶段的国际股票市场上的有效组合，从而验证马科维茨 模型是否适用中国内地投资者对投资组合进行国际多样化组合来降低风险，提高收益率。 关键词：相关性；股票市场；国际分散化投资组合； I Abstract Globalization of economic activities and financial liberalization have accelerated the movement of funds and expended the international trade, which has prompted the interaction between different capital markets. With the increasing correlation between international political and activities, investors not only consider domestic factors but also international factors when they make investment portfolio. The integration of international capital market has been a tremendous tendency within the international financial industry since 1980s ；With China’s entry into the WTO the internal financial market would gradually loosen its control and stock would come to the cross-listing within the world; in Dec.2002, China opened QFII, additionally, QDII is also in pilot phase, so it is not sufficient for investors to reduce portfolios’ risks via international portfolio diversification. Further more, in European countries; the international diversity of investment portfolio has experienced long-term tradition, although it maybe a relatively new concept in the US and Japan yet the risk-reducing via international portfolio diversification has become a tendenc