评估单一股票市场的多元化风险:来自欧洲最大股指的证据

IF 0.6 Q4 ECONOMICS
Artor Nuhiu, Florin Aliu, Bedri Peci
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引用次数: 2

摘要

金融证券的分散化被认为是投资组合风险的重要组成部分。在这种情况下,最优投资组合的构建是投资组合经理持续关注的问题。本研究测量了与德国、西班牙、意大利、法国和英国股票指数相关的风险回报权衡。首先,将股票指数作为单个投资组合进行分析,然后将其与假设的普通股指数进行比较。结果显示,假设一个欧洲共同股票市场可以带来多样化的好处。从2008年1月1日至2018年12月31日,每周收集个股价格和交易量。结果表明,平均而言,多元化程度最高的股票指数是IBEX35、FTSE MIB和FTSE100。相比之下,DAX、MDAX和CAC40的平均多元化程度往往较低。DAX、MDAX和CAC40的分散风险因加入一个共同的假设股票市场而降低,而FTSE100、FTSE MIB和IBEX的分散风险则增加。
本文章由计算机程序翻译,如有差异,请以英文原文为准。
Assessing the diversification risk of a single equity market: evidence from the largest European stock indexes
Abstract Diversification of financial securities is considered a substantial element of portfolio risk. In this context, the construction of an optimal portfolio is an ongoing concern for portfolio managers. This study measures the risk–reward tradeoffs linked to the stock indexes of Germany, Spain, Italy, France, and England. First, the stock indexes are analyzed as individual portfolios and later compared to the hypothetical common equity index. The results show diversification benefits gained from a hypothetical common European stock market. Individual stock prices and trade volumes are collected weekly from January 1, 2008 to December 31, 2018. The results indicate that, on average, the most well-diversified equity indexes are IBEX35, FTSE MIB, and FTSE100. In contrast, DAX, MDAX, and CAC40 on average tend to be less diversified. The diversification risk for DAX, MDAX, and CAC40 decreases from joining a common hypothetical stock market, while for FTSE100, FTSE MIB, and IBEX it increases.
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