上证行业指数间的相关性研究及应用

Study and Application of The Correlations Among The Industry Indices

投资组合中各种资产收益之间的相关性对整个投资组合的风险有着非常重要的影响。运用一种简化的GARCH模型,分析了上证行业指数间的相关性。行业指数的GARCH(1,1)模型估计结果显示,各个行业指数对数收益率的方差都明显受到各自方差的滞后值和残差滞后值的影响。通过对各行业指数残差项的分析,给出了行业指数间动态相关系数的解析表达式;并以上证能源与其余行业指数的相关性为例,给出风险投资组合的投资建议。

The correlations among the different assets have very important impacts on the risk of the portfolio. This paper applies a simplified GARCH model to analyze the correlations among the industry index. The estimation results of GARCH （1,1） model show that the variance of yields about every industry index are significantly influenced by the lag value and residual of its variance. Based on the residuals of industry index, this paper presents analytic expressions of the dynamic correlations among the industry index. We also give some advices about portfolio choice.