中国金融学术研究网
CHINA FINANCIAL RESEARCH NETWORK

资本市场--资产定价
工作论文
2010-05-25 第3卷 第3期

编: 麻省理工学院斯隆管理学院金融学讲席教授,清华大学经管学院特聘教授。

执行主编: 杨之曙清华大学经济管理学院金融学副教授。


本期目录

International diversification benefits: An investigation from the perspective of Chinese investors

Chonghui Jiang University of Electronic Science and Technology of ChinaSchool of Management and Economics
Yongkai Ma University of Electronic Science and Technology of ChinaSchool of Management and Economics
Yunbi An University of WindsorOdette School of Business

Stock Volatility in the Segmented Chinese Stock Markets: A SWARCH Approach

Zhuo Qiao University of MacauFaculty of Business Administration
Weiwei Qiao Wenzhou UniversityDepartment of Information Science and Technology
Wing-Keung Wong Hong Kong Baptist UniversityDepartment of Economics

基于高阶矩的金融资产定价和配置

郑振龙 厦门大学金融系
黄文彬 福州大学管理学院

Why are Excess Returns on China’s Treasury Bonds so Predictable?

Longzhen Fan Fudan UniversitySchool of Management
Shu Tian Fudan UniversitySchool of Management
Chu Zhang Hong Kong University of Science and TechnologyDepartment of Finance


论文摘要

International diversification benefits: An investigation from the perspective of Chinese investors

Chonghui Jiang University of Electronic Science and Technology of ChinaSchool of Management and Economics
Yongkai Ma University of Electronic Science and Technology of ChinaSchool of Management and Economics
Yunbi An University of WindsorOdette School of Business

This paper investigates the potential benefits of international diversification with short selling constraints from the perspective of Chinese investors. Based on a stream of time-rolling realized portfolios, we show that Chinese investors can gain substantially from international investments. In particular, the expected portfolio returns as well as the risk-adjusted returns can be greatly enhanced by diversifying over emerging markets, and the portfolio risk can be largely reduced by investing in developed markets in comparison with purely domestic investments. The results are robust when the out-of-sample tests are employed and when investors start with a more mean-variance efficient domestic portfolio. In addition, our analysis illustrates that optimal portfolio weights vary significantly over time due to fluctuations in the correlations among international markets, suggesting that international portfolios need to be rebalanced frequently in order to generate the greatest possible diversification benefits.

Stock Volatility in the Segmented Chinese Stock Markets: A SWARCH Approach

Zhuo Qiao University of MacauFaculty of Business Administration
Weiwei Qiao Wenzhou UniversityDepartment of Information Science and Technology
Wing-Keung Wong Hong Kong Baptist UniversityDepartment of Economics

This study adopts the Markov-switching ARCH (hereafter SWARCH) model to examine the volatility nature and volatility linkages of four segmented Chinese stock indices (SHA, SZA, SHB, and SZB). Our empirical findings are consistent with the following notions. First, we find strong evidence of regime shift in the volatility of four segmented markets and SWARCH model appears to outperform standard GARCH family models. Second, although there are some common features of volatility switch in segmented markets, there exist a few difference: (i)compared with the A-share markets, B-share markets are more volatile and shift more frequently between high- and low-volatility states; (ii) B-share markets have longer stays at high volatility state than the A-share markets; (iii) the relative magnitude of the high volatility compared with that of the low volatility is much greater than the case in two A-share markets. Third, B-share markets are found to be more sensitive to international shocks, while the A-share markets seem immune to international spillovers of volatility. Finally, analyses of volatility spillover effect among the four stock markets indicate that the A-share markets play a dominant role in volatility in Chinese stock markets.

基于高阶矩的金融资产定价和配置

郑振龙 厦门大学金融系
黄文彬 福州大学管理学院

金融资产对数收益常呈现不对称性和厚尾性,一般不是正态分布,而均值―方差 CAPM 模型中的系统性风险只考虑二阶矩风险即波动率,忽略了高阶矩风险,可能使资产 定价和资产配置存在严重的误差。本文考察了偏度和峰度在我国金融资产配置和资产定价中 的作用,发现加入系统性协偏度和协峰度的高阶矩CAPM 模型能够重新解释我国金融资产 风险与收益间的平衡关系,比均值―方差CAPM 模型更适合我国的金融市场。

Why are Excess Returns on China’s Treasury Bonds so Predictable?

Longzhen Fan Fudan UniversitySchool of Management
Shu Tian Fudan UniversitySchool of Management
Chu Zhang Hong Kong University of Science and TechnologyDepartment of Finance

It is well documented that bond excess returns are time-varying and that they can be explained by predetermined risk factors. This paper builds a theoretical model to forecast excess returns on treasury bonds in the context of China’s unique monetary system. Empirical evidence shows that bond excess returns in China are highly predictable when compared to those in developed markets. Further investigation suggests that the predicted components are primarily driven by the inflexible term structures of official interest rates set by China’s central bank.


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