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題 名 | 極值報酬下國際股市投資組合之風險分散效果 |
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作 者 | 林楚雄; 沈姍姍; 高子荃; 林秀璘; | 書刊名 | 金融風險管理季刊 |
卷 期 | 3:4 2007.12[民96.12] |
頁 次 | 頁25-45 |
分類號 | 563.54 |
關鍵詞 | 風險值; 條件相關結構; 投資組合多角化; Value at risk; Conditional correlation structure; Portfolio diversification; |
語 文 | 中文(Chinese) |
中文摘要 | 本文探討國際投資組合之間的關聯性及其風險分散效益的變化。藉由分析亞洲四小龍、金磚四國以及歐美已開發國家投資組合的條件相關,瞭解極值報酬下國際投資組合的多角化效益。本文使用直接條件在投資組合的報酬分位數之分位數相關衡量條件相關結構,並利用風險值(value at risk, VaR)估計報酬分位數。實證發現極值報酬下大多數的國際投資組合之間相關性偏高,惟獨包含金磚四國的投資組合除外。金磚四國投資組合與已開發國家投資組合以及與亞洲四小龍投資組合之間都有低條件相關,顯示發生極值報酬時,投資人仍可使用金磚四國投資組合規避下方風險。 |
英文摘要 | The main purpose of this study is to investigate the correlations across international portfolios and their diversification benefits under extreme returns. This study measures the conditional correlations between international portfolios, including Asian emerging market portfolio, BRICs portfolio and developed market portfolio using portfolio value at risk (VaR). Empirical evidence shows conditional correlations across international portfolios are high under extreme returns except for the portfolio containing BRICs, which implies that investors could avoid the downside risk and thus improve the benefit of portfolio diversification through portfolios constructed out of BRICs. In this study, we simply use quantile of the portfolio returns to estimate conditional correlation. This approach avoids size-dependent bias so that the empirical result is valuable to investors and money managers. |
本系統中英文摘要資訊取自各篇刊載內容。