CAJ | 학술논문

金融资产收益分布的非对称性不仅是投资组合选择过程中应该考虑的一个重要因子．而且与风险识别与测度也有着千丝万缕的联系。本文采用Lisi（2007）提出的一种基于Bootstrap思想的金融资产收益分布非对称性测度方法．开展了对国际上8种主要汇率日收益率非对称特征的全面深入检验。结果表明：除CNY／USD汇率的日收益率分布具有较为明显的非对称特征外．其余7种汇率的日收益分布在较高置信水平上都可以被认为具有对称特征。另外．实证结果验证了“偏度系数法不适用于具有较强自相关性的金融资产收益序列”的论断。本文的研究结果．为金融时间序列非对称特征的考察及国际汇率市场价格变化分布特征的研究提供了新的证据。
금융자산수익분포적비대칭성불부시투자조합선택과정중응해고필적일개중요인자．이차여풍험식별여측도야유착천사만루적련계。본문채용Lisi（2007）제출적일충기우Bootstrap사상적금융자산수익분포비대칭성측도방법．개전료대국제상8충주요회솔일수익솔비대칭특정적전면심입검험。결과표명：제CNY／USD회솔적일수익솔분포구유교위명현적비대칭특정외．기여7충회솔적일수익분포재교고치신수평상도가이피인위구유대칭특정。령외．실증결과험증료“편도계수법불괄용우구유교강자상관성적금융자산수익서렬”적론단。본문적연구결과．위금융시간서렬비대칭특정적고찰급국제회솔시장개격변화분포특정적연구제공료신적증거。
The presence of asymmetry in the distribution of financial returns is not only an important factor that should be considered in the process of optimal portfolio allocation, but also one of the variables having close relationship with the recognition and measurement of financial risk. This paper adopts a method based on bootstrap to measure asymmetry in the distribution of financial returns, as proposed by Lisi （2007） . Results of asymmetry test on the distribution of eight representative price index series coming from international foreign exchange markets are presented. The results indicate that, except for the distribution of CNY/USD return which has an evident asymmetry characteristic, all the other seven can be considered symmetric at a high confidence level. This paper contributes to asymmetry evaluation in the marginal distribution of financial returns, as well as the study of distribution characteristics in international foreign exchange markets, in the way of providing new empirical evidence.