【摘要】 基于上海A股市场上市公司周收益率历史数据,采用随机抽样方法构建了包含不同证券数目的投资组合,利用组合风险与组合中证券数目之间关系的数学模型,实证分析了上海A股市场1995~2006年市场的系统性风险水平.实证结果表明:除1995年和1996年市场系统性风险水平较高外,其余年份均在30%以下,2001年水平最低为18.75%.利用连续T检验分析了组合风险随组合中证券数目边际变化趋势,结果表明:在1995~2006年,当组合中证券数目为13个左右时,组合的风险和组合中证券数目的匹配较优.更多还原

【Abstract】 Based on the weekly history return data of listed companies in Shanghai A stock market,using random sampling to construct different portfolios including different numbers of securities,this paper used the mathematical model to research the relationship between the portfolio risk and the numbers of securities in the portfolio,and analyzed the systematic risk level in the Shanghai A stock market since 1995 to 2006.The results show that the systematic risk level in those years are under 30% except 1995 and 1996,the lowest level is 18.75% happened in 2001.Then the continuous T test was used to analyze the portfolio risk marginal reduction as the increase of numbers of securities in the portfolio.The results show that during 1995 to 2006,when the numbers of securities in the portfolio is about 13,the match of portfolio risk and numbers is better.更多还原