股市风险构成间接分解模型的改进及实证

对Campbell等提出的分析股市风险构成的间接分解模型进行改进,并运用改进模型研究中国股票市场1995年至2005年的风险构成和趋势。结果发现,公司风险是个股收益率平均风险的最大组成部分,其次是系统风险,行业风险的重要性相对较小;中国股市收益率的平均风险随时间存在下降的趋势,而公司风险和行业风险的重要性随时间在增加;总的协方差风险序列对个股收益率平均风险的影响,随时间不具有一致性。在分析股市风险构成时,不应忽略对协方差风险序列的研究。

Improvement of the Indirect Disaggregated Model and Empirical Study about Risk Components in China's Stock Market

Campbell's indirect disaggregated model is improved to study Components of risk and time trend in China's stock market with the data from 1995 to 2005. Our main findings can be summarized as follows: Over the sample period, firm-specific risk is the largest component of the average return risk of individual stocks; the next is the systemic risk, and industry-specific risk has less shock to the average return risk. There is a downward trend in the average return risk of individual stocks. But the proportions of firm-specific risk and industry-specific risk to the risk of the average return of individual stocks have an upward trend. The effect of total covariance risk to the average return risk of individual stocks is not robust and covariance risk can not be neglected.