5 5 V o l 5 N o 5 2002 10 JOU RNAL O F M ANA GEM EN SC IEN CES IN CH INA O ct 2002 ( 200433) : A 4 20 : ; ; ; A P : F830 91 : A : 100729807 (2002) 0520011207 0 ; (2) 1995 5 3 : (1) : 2001 05 16; : 2002 07 01 : (01JC630008) : (1965- )
12 2002 10 1 1 30% 30% 1 55 90% 70% 27% 3 1998 9 1 2000 9 1 406 406 4 : A B 1997 9 30 30 2000 9 30 A A 488 1997 10 1 70% B 4 B 4 1 1 0 331 1A SZSA SZSA 1 SZSC SZSC1 SZSB SZSB 1 SZPR IN 1 0 976 0 873 0 976 0 8725 0 469 0 429 1B SSEA SSEB SSEC SSE30 SSPR IN 1 0 983 0 506 0 982 0 877 : 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 1 31 3% A 1 32 2% A 1 A
5 : 13 (po rtfo lio population) 50 50 ; 97 6% 98% 2) A P B 0 5 2 1 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 = 1 2 2 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) 50 2 50 j= 1 2 50 code distance code distance code distance code distance code distance R 6002 0 34 R 6080 0 35 R 6168 0 29 R 6678 0 35 R 6764 0 34 R 6054 0 33 R 6084 0 34 R 6170 0 28 R 6684 0 28 R 6773 0 33 R 6055 0 35 R 6087 0 35 R 6609 0 35 R 6698 0 35 R 6810 0 36
14 2002 10 2 50 code distance code distance code distance code distance code distance R 6059 0 35 R 6093 0 31 R 6619 0 35 R 6702 0 34 R 6820 0 34 R 6060 0 30 R 6104 0 36 R 6626 0 33 R 6713 0 32 R 6823 0 36 R 6062 0 34 R 6113 0 33 R 6638 0 36 R 6717 0 30 R 6854 0 35 R 6063 0 35 R 6116 0 35 R 6639 0 35 R 6726 0 35 R 6860 0 33 R 6066 0 33 R 6129 0 33 R 6649 0 35 R 6727 0 34 R 6866 0 33 R 6068 0 32 R 6162 0 33 R 6655 0 34 R 6736 0 30 R 6872 0 35 R 6074 0 34 R 6163 0 36 R 6663 0 32 R 6740 0 31 R 6890 0 36 : Code D istance A R 6002 600002 2 2 50 50 d 1 d 2 d p ( p = 50) : A P d q l t= 1 : x it = Χi0 + Χi1g 1t + + Χiqg qt + Εit i = 0 1 2 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 = 3 50 19 (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) 3 3 2 50 A 30 27 90% 26
5 : 15 excel 0 ( M atlab) 0 0 0 3 code w eigh t code w eigh t code w eigh t code w eigh t code w eigh t R 6002 0 043 3 R 6080 0 R 6168 0 R 6678 0 R 6764 0 R 6054 0 00 806 R 6084 0 R 6170 0 R 6684 0 R 6773 0 R 6055 0 08 117 R 6087 0 084 89 R 6609 0 R 6698 0 R 6810 0 R 6059 0 R 6093 0 R 6619 0 026 02 R 6702 0 R 6820 0 R 6060 0 R 6104 0 R 6626 0 R 6713 0 R 6823 0 107 54 R 6062 0 047 65 R 6113 0 R 6638 0 R 6717 0 R 6854 0 R 6063 0 R 6116 0 R 6639 0 R 6726 0 113 8 R 6860 0 049 63 R 6066 0 055 32 R 6129 0 124 5 R 6649 0 017 59 R 6727 0 R 6866 0 005 75 R 6068 0 R 6162 0 003 48 R 6655 0 032 44 R 6736 0 R 6872 0 037 78 R 6074 0 R 6163 0 R 6663 0 056 29 R 6740 0 011 04 R 6890 0 095 67 : code w eigh t 3 0 977 8 A 0 975 027 A A ( 3 ) 1 1 (10 000 ) 8 (5 000 10 000 ) 7 (5 000 ) 4 19
16 2002 10 4 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): 109-113 [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): 56-67 [3 ]Jan M Equilibrium in a cap ital asset m arket [J ] Econom etrica 1966 (1): 118-121 [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: 127-136 [ 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): 42-46 [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): 255-289 [8 ]Fam a E M acbeth J R isk return andequilibrium: Emp irical test [J ] Journal of Po litical Econom y 1973 (2): 607-636 [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): 263-274 [10 ]Fam a E F rench K he cro ss2section of expected stock returns [J ] Journal of F inance 1992 (2): 427-465 [ 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): 62-68 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 200433 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
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 300072 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