我国股票市场指数及指数证券投资组合

运用主成分分析法分析我国上海和深圳两个交易所几个市场指数对市场变化的反应情况, 结果表明两个股票市场的综合指数和A 股指数可以反应市场的变化, 而其他指数不能反映各自代表的股票市场变化. 由于这4 个指数都不是一个好的投资组合, 要得到与指数一致的投资收益需要构造指数投资组合. 本文利用多因子定价模型, 结合统计分析和优化方法, 从每个股票市场上选取20 余支股票, 经过适当的组合就可以得到与指数一致的收益.

Stock indexes and index ing portfol ios in China stock markets

W ith the app roach of p rincipal componen t analysis, the m ain indexes are studied to deter2m ine if they can ref lect the stock m arket change of the Shanghai Stock Exchange o r the Shenzhen Stock Exchange. The resu lt s indicate that the two compo site indexes and two A 2share indexes can accu rately ref lect them arket changes, and o ther indexes are no t so good in th is funct ion. 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 t rack them.W ith the theo ry of A PT and the app roaches of stat ist ics and op t im izat ion, w e choo se p rincipal componen t s as facto rs, m ake the facto r loadings of t rack ing po rtfo lio s the sam e as the indexes, and then let the sum of squared differences of residualsm in im ized in the samp le period to ob tain the w eigh t of eachstock in the po rtfo lio. A bou t 20 stock s are selected f rom every m arket to ob tain the t rack ing po rtfo lio w ith specif ied w eigh t. The index ing po rtfo lio s have almo st the sam e retu rn s as the indexes bo th in the samp le period and af ter samp le period ( th ree mon th s) .