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The Shanghai Stock Market Risk - The Income And Portfolio Empirical Research

Posted on:2003-02-21Degree:MasterType:Thesis
Country:ChinaCandidate:Q LiFull Text:PDF
GTID:2206360095461063Subject:Business Administration
Abstract/Summary:PDF Full Text Request
Along with the unceasingly thorough development of the reform and open policy, the Chinese securities obtained the rapid development. As one important constituent of the Chinese securities business, the Shanghai Stock Market, which has officially started business since December 1990, attracted the academic circles and the investment attention by its large-scale undulation, frequent vibration and highly speculation. In order to effectively prevent and solve the securities risk, as well as to promote the health development of the securities business, the research on the stock market risk and the investment income has appeared to be extremely urgent and important.By utilizing the contemporary securities portfolio theory, this paper did a diagnosis description and comprehensive research of the Shanghai Stock Market risk, as well as the investment portfolio. First of all, Shanghai Stock Market' s risk constitution, and the ratio of the systematic risk and the non-systematic risk were introduced, some suggestion of risk management were also put forward .Secondly, the risk and the income relations were analyzed. Thirdly, using thirty (30) samples stocks of Shanghai Thirty (30) Indexes as the combination, the investment portfolio scale and the disperser risk degree, etc., were examined, the strategy of investment portfolio in Shanghai Stock Market was also put forward . The results indicate that: 1) the systematic risk proportion in the investment risk has obviously dropped, but the non-systematic risk proportion obviously has gone up. 2) The stock systematic risk is one but not the only fact affecting the stock income rate. The non-systematic risk and general risk are important factors affecting the anticipated stock income. 3) The average stock income rate is proportional to the stock systematic risk. 4) Within the sample time limit, implementing the investment portfolio to Shanghai Stock Market can effectively reduce the risk. The results show that the moderate combination scale of Shanghai Stock Market is 15~20. The main research techniques include Time Series Analysis and Cross Section Analysis.Through the paper, some basic characteristic of risk&income and the degree of the investment portfolio dispersering risk in Shanghai Stock Market can be comprehended. We hope the research and the suggestion of riskmanagement and the strategy of investment portfolio could be used for reference by the investor, we also hope some contemporary securities portfolio theory could be adopted by our study.
Keywords/Search Tags:Systematic Risk, Non-systematic Risk, Stock Income Rate, Investment portfolio
PDF Full Text Request
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