中国股票市场资产配置方式的比较研究

An empirical research on asset allocation models in Chinese stock markets

为检验这两种配置方式在中国股票市场的适用性,将沪深市场的股票分为22个行业和8种公司属性,依据沪深股市1995年1月到2004年10月期间的股票月收益率数据,利用带约束的回归分析方法对股票收益率的行业效应和公司效应进行分析.结果表明中国股票市场均具有明显的行业效应和公司效应,并且行业效应大于公司成长性效应,公司成长性效应大于公司规模效应.所以,在中国股票市场上采取“自上而下”的资产配置方式是合理的.

Based on standard classification of industries, growth attribution, and size attribution of stock in china, the stocks in Chinese stock market are divided into 22 industries and 8 attributions. With monthly retum data from January 1995 to October 2004, the paper utilizes restricted regression model to make an empirical research on industry and company effects. The results showed that Chinese stock market has obviously distinct industry and company effects, and industry effects are more significant than size effects, and size effects are more significant than growth effects. Hence, ‘From Top to Bottom＇ is more reasonable in Chinese stock market.