贵州财经大学学报
貴州財經大學學報
귀주재경대학학보
Journal of Guizhou College of Finance and Economics
2014年
3期
32-38
,共7页
平均方差%平均相关系数%股票组合风险%市场超额收益率%罗尔批评
平均方差%平均相關繫數%股票組閤風險%市場超額收益率%囉爾批評
평균방차%평균상관계수%고표조합풍험%시장초액수익솔%라이비평
average variance%average correlation%aggregate risk%market excess return%Roll’s critique
按照股票规模大小构建中国A股市场的沪深300股票组合，研究股票组合的平均相关系数和平均方差对市场总风险和市场超额收益率的解释和预测能力。实证结果表明，股票组合的平均方差比平均相关系数能够更好地代理市场总风险，并且股票组合的平均方差对市场超额收益率有显著的正向解释和预测能力。实证结果与“罗尔批评”相悖，从一个新的角度印证了资产定价模型能够有效地分析中国A股市场的风险和超额收益的正相关关系。
按照股票規模大小構建中國A股市場的滬深300股票組閤，研究股票組閤的平均相關繫數和平均方差對市場總風險和市場超額收益率的解釋和預測能力。實證結果錶明，股票組閤的平均方差比平均相關繫數能夠更好地代理市場總風險，併且股票組閤的平均方差對市場超額收益率有顯著的正嚮解釋和預測能力。實證結果與“囉爾批評”相悖，從一箇新的角度印證瞭資產定價模型能夠有效地分析中國A股市場的風險和超額收益的正相關關繫。
안조고표규모대소구건중국A고시장적호심300고표조합，연구고표조합적평균상관계수화평균방차대시장총풍험화시장초액수익솔적해석화예측능력。실증결과표명，고표조합적평균방차비평균상관계수능구경호지대리시장총풍험，병차고표조합적평균방차대시장초액수익솔유현저적정향해석화예측능력。실증결과여“라이비평”상패，종일개신적각도인증료자산정개모형능구유효지분석중국A고시장적풍험화초액수익적정상관관계。
This paper provided an empirical investigation of the predictive ability of average variance and average correlation of a stock portfolio which was consist of 300 big-cap stocks in the Chinese A-share market.The regression results showed that the changes in stock market risk might be interpreted as changes in average variance of individual stocks.The average variance that leveraged aggregate risk was significantly related to high stock market risk and predicted subsequently large market ex-cess return.Such empirical result that provided evidence to against Roll’s critique also added contribution to current litera-ture by supporting the positive relationship between market risk and return.
