安全投资转移视角下的跨行业投资组合模型及实证

Empirical Study on Cross-industry Asset Allocation Model under the Perspective of Flight-to-quality

投资者根据市场状态变化和板块轮动效应进行安全投资转移,使得资金在行业间流动,导致风险溢出。本文首次从投资者安全投资转移行为的角度对行业间风险溢出进行研究,采用大规模股票与小规模股票的订单流差异量化安全投资转移。利用状态依赖下的敏感性VaR模型(SDSVaR)衡量行业间风险溢出效应的方向和大小,进一步考虑板块轮动效应,构建跨行业投资组合模型,分析行业间风险溢出和板块轮动效应对资产配置的影响。研究发现:状态依赖下的安全投资转移显著影响行业间联动性和风险溢出;考虑行业间风险溢出的资产配置模型能够分散非系统性风险的同时降低截面维度系统性风险,提高投资者的收益,有效地规避极端风险,可以为投资者的风险管理和投资决策提供有价值的参考。

Investors’flight-to-quality behavior results in the flow of funds between industries based to market regime switching and sector rotation.Furfine(2003)divides systemic risk into two dimensions.First,the time dimension.External shock impacts all industries at the same time,leading to time dimension systemic risk.The shock accumulates over time and closely related to macroeconomic cycle.Second,the cross-sectional dimension.When external shock impacts one industry,the flight-to-quality behavior of investors will transfer funds from the industry to other industries,which will in turn cause cross-industry risk spillover.Cross-industry risk spillover contributes to the risk of an industry as a systematic risk of cross-sectional dimension,thus it is necessary to consider the effect of cross-industry risk spillover on asset allocation.The cross-industry risk spillover from the perspective of investors’flight-to-quality behavior is studied in this paper.The order flow differential(OFD),constructed as the difference between large-and small-cap stock order flows,is used to measure flight-to-quality behavior.Flight-to-quality behavior causes cross-industry co-movement and risk spillover.The State-Dependent SensitivityVaR model(SDSVaR)is used to quantify risk spillovers among sets of different industries.Based on this,the cross-industry portfolio model with further consideration of sector rotation effect is constructed.It is shown that investors’flight-to-quality behavior significantly affectscross-industry co-movement and risk spillover.The portfolio model that considers risk spillover among industries can disperse non-systemic risk and reduce the systemic risk of cross-section dimension,and effectively avoid extreme risk.In addition,considering regime switching and sector rotation in asset allocation can resist market risks and increase investment return.The study on risk spillover and sector rotation in cross-industry portfolio optimization provides valuable reference for investors and regulators.