Research On Optimal Allocation Of Global Stock Assets Based On Market Dynamic Linkage Analysis

Internationalized asset allocation will reduce the risk at national level as well as hedge out some idosyncratic risks.More investors have the opportunity to enjoy the investment in international capital market for the benefits of economic globalization,opening of policies,accumulation of wealth,widening of channels in investment and financing.The investors,especially those with high net worth or the institutional investors,have to allocate the assets overseas to achieve the targets of appreciation and reduce the correlation between their assets and domestic assets.This paper takes international stock markets for an example,investigates the optimal asset allocation strategy in international capital markets based on dynamic interactivity analysis between global markets and industries.Chapter 1 introduces the research background and significance,combs the relevant literature at home and abroad,outlines the contents,designs,and innovations of this research.Chapter 2 introduces the theoretical basis and relevant models of global stock market interactivity analysis.The mainstream analysis related includes the economic basis hypothesis and the market infection hypothesis.The models include univariate and multivariate GARCH family models.The DCC-GJR-GARCH model is selected to analyze the dynamic linkages between China's stock market and international stock markets.Based on the "market diversification strategy" and DCC-GJR-GARCH model,Chapter 3 analyze the international linkages between China's and international stock markets,and then screen out the suitable international stock markets by the analysis of dynamic correlation between international markets among nations(regions).Chapter 4 integrates the "industry decentralization strategy" with the cluster analysis technique to categorize the industries' indices in selected international stockmarkets in Chapter 3 by indices of mean,variance,skewness,kurtosis,and median and then construct the asset pool with stock indices with better performance.Chapter 5 uses the Mean-CVaR model to compute the optimal allocation of assets between international markets,and compare the four typical investment portfolios and then select the most advantageous one to test its performance against the benchmarks.Chapter 6 summarizes the main work of this paper and makes a prospect for future research.