我国股票市场指数及指数证券投资组合 关键词 中图分类号 文献标识码 文章编号 0 引 言

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1 5 5 V o l 5 N o JOU RNAL O F M ANA GEM EN SC IEN CES IN CH INA O ct 2002 ( ) : A 4 20 : ; ; ; A P : F : A : (2002) ; (2) : (1) : ; : : (01JC630008) : (1965- )

2 % 30% % 70% 27% : A B A A % B 4 B A SZSA SZSA 1 SZSC SZSC1 SZSB SZSB 1 SZPR IN B SSEA SSEB SSEC SSE30 SSPR IN : SZSA A SZSA 1 A x it = log (S it + d it) - logs it- 1 (1) SZSC SZSC1 : S it t ; X it SZSB SZSB 1 B ; d it SZPR IN 1 SSEA SSEB SSEC SSE30 A B 30 SSPR IN % A % A 1 A

3 5 : 13 (po rtfo lio population) ; 97 6% 98% 2) A P B A A B 30 E (x it - x j t) 2 : x it x j t E (x it - x j t) 2 E (x it - x j t) 2 (2) E δ (x it - x j t) 2 1 = (x it - x j t) 2 (2) x it x j t t = A A D ij = A A (x it - x j t) 2 (3) j= 1 A 406 SA S (FA SCLU S) ( A ) A A 50 A 331 : 1) j= code distance code distance code distance code distance code distance R R R R R R R R R R R R R R R

4 code distance code distance code distance code distance code distance R R R R R R R R R R R R R R R R R R R R R R R R R R R R R R R R R R R : Code D istance A R d 1 d 2 d p ( p = 50) : A P d q l t= 1 : x it = Χi0 + Χi1g 1t + + Χiqg qt + Εit i = p (4) : x p t = p d ix it Χp j = p d iχij Εp t = p d iεit i= 1 i= 1 j = 0 1 q i= 1 {x p t} 50 95% {x 0t} : x 0t = logs 0t - logs 0t- 1 S 0t 49% E (x p t - x 0t) 2 30 E (x p t - x 0t) 2 E δ (x p t - x 0t) 2 1 = (x p t - x 0t) 2 (7) t= 1 19 x 0t 27 x 0t = Χ00 + Χ01g 1t + + Χ0qg qt + Ε0t (8) 0 excel m in (x p t - x 0t) 2 s t ΧP j = Χ0j j = 0 1 q (9) A P 3 : E (Εit) = 0 cov (Εit Εj t) = 0 i j cov (Εit Εrt- k) = 0 k 0 ; {x p t} ; i d i x p td 1x 1t + + d p x p t t = 1 (5) 3 x p t 1 2 x p t = Χp 0 + Χp 1g 1t + + Χp qg qt + Εp t (6) A % 26

5 5 : 15 excel 0 ( M atlab) code w eigh t code w eigh t code w eigh t code w eigh t code w eigh t R R R R R R R R R R R R R R R R R R R R R R R R R R R R R R R R R R R R R R R R R R R R R R R R R R : code w eigh t A A A ( 3 ) 1 1 ( ) 8 ( ) 7 (5 000 ) 4 19

6 A (4) (1) 70% ; (2) A A (3) A P 20 : [1 ]Sharpe W Cap ital asset p rices: A theo ry of m arket equilibrium [J ] Journal of F inance 1964 (4): [2 ]John L he valuation of risk assets and the selection of risky investm ents in stock po rtfo lio s and cap ital budgets [J ] R eview of Econom ics and Statistics 1965 (1): [3 ]Jan M Equilibrium in a cap ital asset m arket [J ] Econom etrica 1966 (1): [4 ]Bodie Kane M arcuṡ Investm ents[m ] th ird edition Bo ston: Irw in M cgraw 2H ill 1996 [ 5 ]Kariya Q uantitative M ethod fo r Po rtfo lio A nalysis2m V M ethod A pp roach [M ] Bo ston: A cadem ic P ress 1993: [ 6 ]Conno r G he tree types of facto r models: A comparison of their exp lanato ry pow er [J ] F inancial A nalysts Jou rnal 1995 (3): [7 ]Conno r G Ko rajczyk R R isk and return in an equilibrium A P: A pp lication of a new test m ethodo logy [J ] Jou rnal of F inancial Econom ics 1988 (2): [8 ]Fam a E M acbeth J R isk return andequilibrium: Emp irical test [J ] Journal of Po litical Econom y 1973 (2): [9 ]Ro senberg B Extra2m arket components of covariance in security m arkets[j ] Journal of F inancial and Q uantita2 tive A nalysis 1974 (1): [10 ]Fam a E F rench K he cro ss2section of expected stock returns [J ] Journal of F inance 1992 (2): [ 11 ]H akansson GR H igher return low er risk: H isto rical returns on long2run actually m anaged po rtfo lio s of stock s bonds and b ills[j ] F inancial A nalysts Jou rnal 1982 (2): 2-16 [12 ]Grino ld R Kahn R A ctive Po rtfo lio M anagem ent [M ] N ew Yo rk: M cgraw 2H ill 2000 [13 ] Granger [J ] 2001 (5): 7-12 [14 ] [J ] 2000 (2): Stock indexes and index ing portfol ios in Ch ina stock markets FA N L ong 2z hen W A N G H a i2tao H E H ua Schoo l of M anagem en t Fudan U n iversity Shangha i Ch ina Abstract: W ith the app roach of p rincipal com ponen t analysis the m ain indexes are studied to deter2 m ine if they can reflect the stock m a rket change of the Shangha i Stock Exchange o r the Shenzhen

7 5 : 17 Stock Exchange he resu lts indicate that the tw o com po site indexes and tw o A 2share indexes can ac2 cu rately reflect the m arket changes and o ther indexes are no t so good in th is function Becau se all the fou r indexes are no t good investm en t po rtfo lio s w e need to m ake index ing po rtfo lio s to track them W ith the theo ry of A P and the app roaches of statistics and op tim ization w e choo se p rincipal com po2 nen ts as facto rs m ake the facto r loadings of track ing po rtfo lio s the sam e as the indexes and then let the sum of squared differences of residuals m in im ized in the sam p le period to ob tain the w eigh t of each stock in the po rtfo lio A bou t 20 stock s are selected from every m arket to ob tain the track ing po rtfo lio w ith specified w eigh ṫ he index ing po rtfo lio s have alm o st the sam e retu rn s as the indexes bo th in the sam p le period and after sam p le period (th ree m on th s) Key words: m arket indexes; index ing po rtfo lio; clu ster analysis; A P m odel ( 5 ) Study on comm on factors of vector stochastic volatility m odel D U Z i2p ing ZH A N G S h i2y ing Schoo l of M anagem en t ian jin U n iversity ian jin Ch ina Abstract: In th is paper from the idea of comm on trend w e put fo rw ard the defin ition of co2persis2 tence in vo latility of vecto r SV m odel and estab lish the equ ivalen t relation sh ip betw een comm on per2 sistence in vo latility and co in tegration M eanw h ile w e give tw o rep resen tation s of comm on persisten t facto rs under the Stock2W o tson and Gonzalo2Granger facto r decom po sition s and verify the ex istence of co in tegration betw een these tw o rep resen tation ṡ M o reover under the unob served variab les to be VA R (1) the rep resen tation of co2persistence facto rs is p resen ted and necessary condition s of ex ist2 ing co2persistence facto rs are also studied Key words: vecto r SV m odel; comm on persistence in vo latility; comm on persisten t facto r; co in te2 gration; long2run comm on trend