国际分散化证券投资的潜在利益及对QDII投资的启示——基于1994～2008年世界主要股市历史数据的实证研究  

Potential Benefits from International Portfolio Diversification and Implications for QDII Investments

作　　者：吴立广[1,2] 

机构地区：[1]暨南大学经济学院 [2]中国世界经济学会

出　　处：《国际金融研究》2010年第5期47-54,共8页Studies of International Finance

基　　金：广东省哲学社会科学规划基金项目的资助(项目编号:06E15)

摘　　要：本文运用世界16个主要股市1994～2008年的历史数据,在马科维茨均值-方差模型基础上构建了既包括国内证券也包括国外证券的有效组合和有效边界,并与同期纯粹的国内证券组合的收益和风险相比较,考察了中国投资者进行国际分散化证券投资的潜在利益。研究发现,在风险相同条件下,国际分散化有效组合的收益率高于国内组合,在收益相同条件下,国际分散化有效组合的标准差低于国内组合;如果按照风险调整后收益来衡量,所有国际分散化有效组合均优于纯粹的国内投资组合。该结论的政策含义是:QDII制度的推出为中国投资者提供了实现全球资产配置的机会,有利于分散单一市场风险,应不断完善该制度,进一步拓宽中国投资者从事国际分散化投资的渠道。Based on the Markowitz mean-variance model, this paper examines the potential gains of international portfolio diversification from the perspective of Chinese investors by using historical monthly indices of 16 major stock markets from January 1994 to December 2008. The empirical findings in the paper reveal that, as opposed to purely domestic Chinese stock investment, there are substantial gains from international diversification for Chinese investors. The benefits include increase in return while holding the same risk and reduction in risk without negatively affecting the return. As measured by the risk-adjusted return, all international efficient portfolios are superior to the purely Chinese domestic portfolio. These results suggest that Chinese investors will be able to realize these benefits through QDII products even when investing directly in external stock markets by individual investors is not permitted.

关 键 词：国际分散化 证券投资 有效组合 有效边界 QDII 

分 类 号：F831[经济管理—金融学]