行业资产配置的相关问题研究

Study of relevant problems in industry assets allocation

依据中性的资本市场假定、资本市场理论和有效市场假定,研究了我国股票投资中行业资产配置的必要性与可行性。实证研究的结论是,我国股票市场在行业层面基本符合中性假定,并且非系统风险在总风险中的比重较大,有行业资产配置的必要;同时,股票市场在行业层面上没有弱有效性,积极的行业资产配置可行。

Based on the hypothesis of neutral capital market, CMA and EMH, the necessity and the availability for the industry assets allocation of investment in Chinese stocks market have been studied. The result of an empirical study shows that in the aspect of industry, Chinese stocks market is neutral and is not weak efficiency. It is also shown that the diversifiable risk of stocks grouped by industry is considerable. Therefore, industry assets allocation is necessary and the activeindustry assets allocation is available.