海外资产配置与A股国际化是“双赢”之举吗——基于投资组合均值—方差张成检验的实证分析  

Is Global Asset Allocation and A-share Stock's Internationalization A Win-Win Game:An Empirical Analysis Based on Mean-Variance Spanning Test

作　　者：李晓帆 陈伟忠[1] 

机构地区：[1]同济大学经济与管理学院,上海200092

出　　处：《统计与信息论坛》2018年第3期37-45,共9页Journal of Statistics and Information

基　　金：国家自然科学基金项目<外汇储备的多层次动态决定;资产优化配置及风险控制研究>(71173153)

摘　　要：资产配置效率是影响投资组合绩效的关键因素,如何衡量资产配置效率对于投资者构建与评价投资组合表现具有重要现实意义。基于改进后的均值—方差张成检验模型,分别研究A股市场投资组合引入国际资产以及国际投资组合引入A股指数后对原有投资组合表现的影响及成因,研究结果表明:在国内A股投资组合中引入发达市场股票指数可以有效控制A股投资组合的尾部风险,而在国际投资组合中引入A股指数则能够提升国际投资组合的夏普比率,并且目前A股指数尚不能够替代国际投资组合中的其他新兴市场指数;国际投资者应当引入A股资产以提升投资组合风险收益比,A股投资者应引入国际资产以有效控制投资组合尾部风险。Efficiency of asset allocation is key to portfolio performance and measure asset allocation efficiency is of practical significance to construct and evaluate portfolio.This paper uses modified spanning test to research on the influence of introducing the international asset to domestic assets and introducing Ashare stock index into international portfolio.The study finds that the tail risk can be effectively controlled by introducing developed market stock index in the A stock portfolio and the introduction of A stock index in the international investment portfolio can enhance the sharp ratio,further research found that the currently A-share index is not able to substitute for other emerging markets index international portfolio,the main reason is that other emerging markets index can significantly improve sharp ratio of the international portfolio.

关 键 词：张成检验 国际资产配置 A股国际化 投资组合绩效 

分 类 号：F830.59[经济管理—金融学] F224.0