风格股票指数的随机动态相依性研究

Study on the Stochastic Dynamic Dependence Structure of Stock Style Indices

准确刻画风格股票的联合分布,特别是它们之间的相依性,对基金公司等机构投资者进行资产配置和风险管理都有重要意义。根据已有文献,风格股票指数的相依性与流动性等来自市场的随机变量有关,那么这种动态相依性也可能是随机的。因此,本文在研究我国风格股指数相依性时,考虑了随机形式的动态相依性。文章在Hafner和Manner(2012)随机Copula模型中加入了换手率解释变量,实证分析我国风格股票指数间的相依结构,并从风险管理的角度讨论了随机相依性的经济意义。研究发现,大盘股和小盘股、成长型和价值型股票间的尾部相依性都表现出随机动态特征。考虑随机相依性的投资策略所得组合风险比Patton(2006)模型对应的投资策略低约0.30%-1.20%。对每天、每周或每月调整投资比例的中短期投资者而言,建议考虑风格指数的随机动态相依性。而且,短期投资者在大、小盘股票上投资时,还可以使用换手率信息预测未来1天两风格指数的相依性,以进一步降低组合风险。

How to describe the joint distributions of stock style indices, in particular their dependence structures, is of great importance to institutional investors like fund companies in the field of asset allocation and risk management. The dependence of stock style indices have been shown to be related with liquidity and other market variables. As these market variables are stochastic per se, it seems more reasonable to assume the dependence patterns are also stochastic. In this paper, we account for the stochastic feature in the dependence of stock style indices, and improve Hafner and Manner （2012）＇s stochastic autoregressive copula models by introducing stock turnover as an explanatory variable. We analyze the stochastic dynamic dependence of different style indices, and discuss the economic significance of characterizing this stochastic feature from the perspective of risk management. Our results show that the tail dependence between small and large cap indices （growth and value indices） are stochastic dynamic processes. Compared with Patton （2006）＇s deterministic dynamic copulas, investors believing in stochastic dependence patterns have lower portfolio risk by 0.3%-1.2%. Therefore, investors adjusting their portfolios each day, each week and each month are all suggested to account for the stochastic features in dependence. Also, short-term investors are suggested to consider the turnover rate as it is useful in predicting the dependence between size-sorted indices in the next one day.