摘要
通过对2002年～2010年各种时间区间的债券和股票收益率相关性研究，发现债券和股票总体呈现负相关，随着考察时间区间的加大，相关性快速降低，且债券和股票之间在对方发生尾部风险时，具有一定对冲作用。这些特征对保险资金的战略性资产配置、战术性资产配置和再平衡操作都具有明显的借鉴意义。
The paper conducted a research on the correlation of investment returns between bonds and stocks of various time periods during 2002-2010. It concluded that the investment returns of bonds and stocks were on the whole negatively correlated, and with the widening of the time period, their correlation decreased rapidly. Moreover, it also revealed that bonds and stocks had certain hedging effect for each other when the other encountered tail risks. These findings have useful inspirations for strategically allocating insurance funds or making specific allocation decisions and rebalancing operations.
出处
《保险研究》
北大核心
2011年第8期57-64,共8页
Insurance Studies
关键词
相关性
关联模式
资产配置
correlation
mode of correlation
asset allocation
