金融资产收益率分布是对称的吗——基于国际汇率市场的实证证据  

Is the Distribution of Returns Symmetric——Empirical Evidence from International Foreign Exchange Markets

作　　者：王鹏 吕永健[1] 

机构地区：[1]西南财经大学中国金融研究中心

出　　处：《国际金融研究》2015年第8期87-96,共10页Studies of International Finance

摘　　要：金融资产收益分布的非对称性不仅是投资组合选择过程中应该考虑的一个重要因子,而且与风险识别与测度也有着千丝万缕的联系。本文采用Lisi(2007)提出的一种基于Bootstrap思想的金融资产收益分布非对称性测度方法,开展了对国际上8种主要汇率日收益率非对称特征的全面深入检验。结果表明:除CNY/USD汇率的日收益率分布具有较为明显的非对称特征外,其余7种汇率的日收益分布在较高置信水平上都可以被认为具有对称特征。另外,实证结果验证了"偏度系数法不适用于具有较强自相关性的金融资产收益序列"的论断。本文的研究结果,为金融时间序列非对称特征的考察及国际汇率市场价格变化分布特征的研究提供了新的证据。The presence of asymmetry in the distribution of financial returns is not only an important factor that should be considered in the process of optimal portfolio allocation, but also one of the variables having close relationship with the recognition and measurement of financial risk. This paper adopts a method based on bootstrap to measure asymmetry in the distribution of financial returns, as proposed by Lisi （2007） . Results of asymmetry test on the distribution of eight representative price index series coming from international foreign exchange markets are presented. The results indicate that, except for the distribution of CNY/USD return which has an evident asymmetry characteristic, all the other seven can be considered symmetric at a high confidence level. This paper contributes to asymmetry evaluation in the marginal distribution of financial returns, as well as the study of distribution characteristics in international foreign exchange markets, in the way of providing new empirical evidence.

关 键 词：汇率 非对称性 Bootstrap检验 偏度系数 

分 类 号：F831[经济管理—金融学]