论文标题:人民币升值背景下的全球金融资产组合研究—中国投资者的视角
International Investment Portfolio in Anticipation of RMB Appreciation-From a Chinese Investor"s Perspective
论文作者
论文导师 陈伟忠,论文学位 硕士,论文专业 金融学
论文单位 同济大学,点击次数 3116,论文页数 56页File Size3711K
2008-01-01论文网 http://www.lw23.com/lunwen_111872/
RMB appreciation;; currency risk;; international investment portfolio
随着我国居民财富的增长,居民的投资需求和投资视野不断得到扩展。国内QDII以及银行境外投资理财产品的推陈出新对居民的吸引力也越来越大。但是另一方面,2005年7月人民币汇率制度发生了重大变革,由单一盯住美元转变为盯住一揽子货币的以市场供求为基础的、有管理的浮动汇率。自汇改两年多来,人民币兑美元一直保持了稳定的增长态势,至2007年11月27日,人民币累计升值幅度已接近10%。对此,人民不禁会心存疑惑:在人民币如此快速升值的背景下是否还有投资境外证券市场的必要? 本文在回顾了马柯维茨投资组合理论和国际投资组合理论的基础上,以我国2005年9月至2007年8月的上证A股指数、其它十个国家的主要股指以及该段时间内人民币对其它十国货币的银行间汇率为依据,对单一投资上证A股和投资十一国证券构成的投资组合从收益和风险的角度作了实证分析。考虑到在上世纪80年代,日元汇率和日本股市的表现与人民币走势和国内股市的相似性,文章从日本投资者的角度出发,对1986-1995年间单一投资日本国内股市和投资包括日本证券在内的投资组合的两种情形进行了假设和测算。根据以上的实证分析,本文最后得出的结论是:在人民币升值的背景下,投资境外证券市场依然有其必要性。在国内股市经历了长达两年的牛市之后,我国投资者应当关注和警惕股市风险,正确认识人民币升值对投资境外证券市场的影响,借鉴80年代日元和日本股市的历史,平衡个人的投资收益和风险。
As their wealth has been increasing, the Chinese people whose vision has been broadened to overseas security markets now have a great investment demand which has been taken advantage of by banks and other institutional investors by providing a variety of financial products designed to invest overseas markets. However, with the continuous appreciation of RMB whose exchange rate system reform was launched in July 2005, the Chinese people have begun to doubt the necessity of overseas investment portfolio. This paper is organized in the following structure: first it reviews the portfolio theory advanced by H.Markowitz and the international portfolio theory, second it makes analyses of the differences of risk and return between two portfolios from September 2005 to August 2007: one is composed of SH A share index and the other is made up of ten country"s main stock indices. Meanwhile, considering the similarity between the appreciation of Japan Yan in the 1980s and the appreciation of RMB over the past two years as well as their similar booming domestic stock markets in the respective periods, the paper also makes analyses of risk- return difference between the portfolio of Nikkei 225 Stock Index and the portfolio of other three countries" stock indices during the period of 1986 and 1995. Finally, the paper concludes from the results of these two analyses that international diversification benefits do exist in spite of the appreciation of domestic currency and therefore it is still necessary for the Chinese investors to allocate part of their investment to overseas markets for better risk-return balance.
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