主题因素的分位数回报连通性和投资组合影响:来自美国和中国的证据

IF 5.5 2区 经济学 Q1 BUSINESS, FINANCE
Huai-Long Shi , Huayi Chen
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引用次数: 0

摘要

理解因素之间的相互作用对于有效的投资组合管理和风险缓解是至关重要的。本研究通过静态分析和动态分析,探讨了中美两国市场主题因素之间的分位数回报关联性。在我们的静态分析中,我们检查了各种条件返回分位数之间的原始连接、条件连接和聚合连接。进行自举残差处理以识别统计上显著的结果。我们的研究结果显示,在不同的条件分位数中,重要的发射器和接收器存在显著差异。此外,原始连接性和条件连接性测量之间的显著结果存在显著差异。对于不同的连通性度量,我们观察到总连通性与条件分位数之间呈u型关系,强调了不同市场条件下主题因素之间的相互作用程度不同。在动态分析中,我们评估了利用时变连接度信息构建的最小连接度组合(MCoP)的性能。使用左尾连通性信息构建的MCoP,在Sortino比率和累积回报方面,与同类(最小条件相关投资组合和最小方差投资组合)相比,表现出优越的性能。我们的研究对资产配置、风险管理策略和政策制定具有重要意义。它为构建稳健的投资组合和增强整体市场稳定性提供了有价值的见解。
本文章由计算机程序翻译,如有差异,请以英文原文为准。
Quantile return connectedness of theme factors and portfolio implications: Evidence from the US and China
Understanding factor interplay is crucial for effective portfolio management and risk mitigation. This study delves into quantile return connectedness among theme factors in the US and Chinese markets through static and dynamic analyses. In our static analysis, we examine the raw, conditional, and aggregate connectedness across various conditional return quantiles. A bootstrap residual process is conducted to identify statistically significant results. Our findings reveal marked disparities in significant transmitters and receivers across different conditional quantiles. Furthermore, there are notable contrasts in significant results between raw and conditional connectedness measures. For different connectedness measures, we observe a U-shaped relationship between total connectedness and conditional quantiles, underscoring the varying degrees of interplay among theme factors under different market conditions. In the dynamic analysis, we evaluate the performance of the minimum connectedness portfolio (MCoP), built utilizing time-varying connectedness information. The MCoP, built using left-tail connectedness information, demonstrates superior performance compared to its peers — the minimum conditional correlation portfolio and the minimum variance portfolio — in terms of the Sortino ratio and cumulative returns. Our study holds substantial implications for asset allocation, risk management strategies, and policy formulation. It provides valuable insights for constructing robust portfolios and enhancing overall market stability.
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来源期刊
Global Finance Journal
Global Finance Journal BUSINESS, FINANCE-
CiteScore
7.30
自引率
13.50%
发文量
106
审稿时长
53 days
期刊介绍: Global Finance Journal provides a forum for the exchange of ideas and techniques among academicians and practitioners and, thereby, advances applied research in global financial management. Global Finance Journal publishes original, creative, scholarly research that integrates theory and practice and addresses a readership in both business and academia. Articles reflecting pragmatic research are sought in areas such as financial management, investment, banking and financial services, accounting, and taxation. Global Finance Journal welcomes contributions from scholars in both the business and academic community and encourages collaborative research from this broad base worldwide.
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