基于安全投资转移视角的风险相关性研究  

Risk Correlation Study from the Perspective of Flight-to-quality

作　　者：尘娜 金秀[1] CHEN Na;JIN Xiu(School of Business Administration,Northeastern University,Shenyang 110819,China)

机构地区：[1]东北大学工商管理学院,辽宁沈阳110819

出　　处：《上海管理科学》2021年第2期15-21,共7页Shanghai Management Science

基　　金：国家自然科学基金(71571041)。

摘　　要：投资者根据市场状态变化进行安全投资转移,引起资产间的资金流动和风险相关性变化。利用Markov状态转移模型识别市场状态,订单流差异衡量安全投资转移,基于CAPM的标准化协方差矩阵衡量风险相关性。研究发现:我国股市存在熊市、横盘和牛市三种状态,横盘状态下安全投资转移水平急剧提升。在时间维度上,横盘状态下安全投资转移对行业间风险相关性的影响最大;在截面维度上,同一状态下安全投资转移对安全型行业-风险型行业所组成行业对的风险相关性影响程度最大。结果表明,安全投资转移引起行业间风险相关性负向变化,使得行业间风险相关性减少。投资者同时配置受安全投资转移显著影响的安全型和风险型资产,可以降低投资组合系统性风险。As the market regime shifts,flight-to-quality causes capital flowing and risk correlation changing among assets.Markov regime switching model is used to identify market regimes,order flow difference is used to measure flight-to-quality,and risk correlation is measured by standardized covariance matrix of CAPM.The empirical analysis show that:There are bear,sideway and bull regimes and flight-to-quality sharply increase in sideway regime.In the time dimension,the effect of flight-to-quality is biggest in sideway regime;in the cross-sectional dimension,the effect on safe industry-risk industry is biggest.The results show that the negative change of cross-industry risk correlation will decrease risk correlation.Investors can reduce the systemic risk of portfolio by allocating both safe and risk assets which are significantly affected by the flight-to-quality.

关 键 词：风险相关性 安全投资转移 市场状态 订单流差异 

分 类 号：F832.5[经济管理—金融学]