高波动股市下的条件相关与风险分散效果  

Conditional Correlation and Risk Diversification under Highly Volatile Stock Markets

作　　者：黄渝祥[1] 张哲纲[1] 

机构地区：[1]同济大学经济与管理学院,上海200093

出　　处：《财贸研究》2009年第1期95-101,共7页Finance and Trade Research

摘　　要：在一般化误差分配假设下,利用风险值估计的方法分别求出台湾地区股票市场牛市与熊市的条件相关系数,以检验风险分散的效益。实证研究发现:在高波动期间,股市类股指数的条件相关性及非系统风险皆显著小于平常时期,显示股市的联动性及非系统风险在高波动期间会较低,此与过去文献的发现相反。然而,不论在高波动期间还是在平常期间,股市的联动性都偏高,投资者或基金经理人应该尽可能运用国际多角化的投资,以提高风险分散的效益。This paper investigates the benefit of portfolio diversification when Taiwan stock market is bearish or bullish. Generalized error distribution （GED） is employed to calculate the returns to estimate conditional correlation. The test shows that conditional correlation and unsystematic risks during highly volatile period are much lower than that in other periods, namely, the linkages and unsystematic risks of Taiwan stock market are much lower in highly volatile markets, which implies that the benefit of portfolio diversification is not be eroded. This paper suggests that the investors or the fund managers should use international portfolio diversification as much as possible to increase the benefit of portfolio diversification.

关 键 词：条件相关性 投资组合多角化 资本资产定价模型 

分 类 号：F830[经济管理—金融学]