中国股票市场投资组合规模的非系统风险分散效应  

Diversification Effects of Idiosyncratic Risk of Portfolio Sizes in Chinese Stock Market

作　　者：陈健[1] 胡文伟 李湛[1] 

机构地区：[1]上海交通大学安泰经济与管理学院 [2]香港大福证券集团研究部

出　　处：《软科学》2008年第2期39-42,共4页Soft Science

基　　金：上海市科技发展基金软科学研究重点项目(066921012);上海市哲学社会科学资助项目(2005BJL008)

摘　　要：将中国股票市场1995～2005年的11年数据分为三个子样本期，构造等权投资组合模型实证研究了中国股票市场投资组合规模的非系统风险分散效应。研究发现，三个子样本期内，投资组合的平均风险都随着投资组合中股票数的增加而迅速下降，之后变得平缓而趋于稳定，一般7～9个股票就能消除掉45．92％～49．61％的风险；相同规模投资组合的平均风险在整个样本期呈现确定性地随时间下降的趋势；分散掉同样比例的非系统风险所需的股票数也呈现随时间下降的趋势；分散化的好处随时间在增加。This paper examines the relationship between the increasing portfolio sizes and the diversification of idiosyncratic risk after dividing the eleven years＇data in China stock market into three sub sample periods. Main findings can be summarized as follows： During these three sub sample periods, the average risk of the portfolio declines with a form of a rapidly decreasing asymptotic function when the number of stocks in the portfolio increases. 45.92% to 49.61%＇s average risk of a security is eliminated by the time the 7th security or 9th security is added to the portfolio. The average risk of the same size portfolio has decreased over time. The number of securities included in a portfolio to eliminate the same rate idiosyncratic risk also has decreased over time. The benefits of portfolio diversification have increased over time.

关 键 词：股票市场 投资组合 非系统风险 

分 类 号：F830.91[经济管理—金融学]