CAJ | 학술논문

　　本文应用随机矩阵理论及方法解析资产组合协方差矩阵的信息结构。实证发现，我国股票组合的协方差矩阵存在市场因素、行业因素的信息结构。最大特征值携带着反映市场因素的信息，影响程度非常高，是股票资产间相关性的主导因素。最大特征值偏离 RMT 上界的倍数远远高于其他市场。偏离 RMT 上界的特征值，携带着反映行业因素的信息，影响同一行业或者主营业务相同的公司，但随着特征值与 RMT 上界靠近，信息特征减弱。
　　본문응용수궤구진이론급방법해석자산조합협방차구진적신식결구。실증발현，아국고표조합적협방차구진존재시장인소、행업인소적신식결구。최대특정치휴대착반영시장인소적신식，영향정도비상고，시고표자산간상관성적주도인소。최대특정치편리 RMT 상계적배수원원고우기타시장。편리 RMT 상계적특정치，휴대착반영행업인소적신식，영향동일행업혹자주영업무상동적공사，단수착특정치여 RMT 상계고근，신식특정감약。
We use the methods of random matrix theory(RMT) to investigate the information structure of the covariance matrix between stock returns. The largest eigenvalue are found to represent the market information. Chinese stock portfolio has a particularly high value of largest eigenvalue, which is about 175 times larger than the RMT upper bound. Market information is the dominate factor determining the correlations between stock returns. The other eigenvalues deviating from the RMT upper bound represent information affecting stocks belonging to similar or related industries.