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本文在很一般的假设条件之下给出了一个用平均相关系数来度量市场分散风险的能力的方法。使用 1 995年 1月 4日至 2 0 0 0年 9月 2 7日上海证券交易所所有 A股上市公司 (不包含 PT股票 )的日交易数据对市场的风险分散能力进行实证研究。使用同时期的数据用实证方法比较了平均相关系数作为市场风险分散能力度量和使用 CAPM对可分散风险和不可分散风险进行分解的方法。进一步通过相关系数所构成的经验分布来分析和估算使用组合可分散风险的范围。
This paper gives a method to measure the ability of market to disperse risk by means of average correlation coefficient under the very general assumption. Using the daily trading data of all A-share listed companies (excluding PT stocks) of the Shanghai Stock Exchange for the period from January 4, 1995 to September 27, 2000, we conducted an empirical study on the market risk diversification capability. An empirical method was used to compare the average correlation coefficient as a measure of market risk dispersion and a method of decomposing both diffusible and non-diversifiable risks using CAPM. The empirical distribution of the correlation coefficients is further used to analyze and estimate the range of risks that can be spread using the portfolio.