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论文编号：	9407
作者编号：	2120152457
上传时间：	2017/6/21 12:54:52
中文题目：	人民币汇率市场化下的 中美资产配置及投资收益对比研究
英文题目：	A comparative study of asset allocation and investment returns between China and US under the background of marketization.
指导老师：	齐岳
中文关键字：	汇率市场化；中美资产配置；时间序列；配对t检验；相关性分析
英文关键字：	Exchange Rate Marketization; Asset Allocation between China and America; Return Time Series; Paired t-test; Correlation Analysis
中文摘要：	中国经济迅猛发展，在世界经济舞台上脱颖而出，人民币的国际化进程也迅速推进。自2015年12月人民币纳入“一篮子货币”SDR后，汇率市场化改革也进入新常态，人民币呈现出了明显的贬值倾向和贬值压力，引发了境内投资者加持美国金融资产的思考。为了研究美元资产配置的合理性及其比例，中美股票债券配置比例，有效分散风险的中美股票行业选择，本文开展了研究。 本文收集整理了2005年1月1日-2014年12月31日的中美股指、债指、存款利率的月度数据，采用指数化的方式计算长期投资收益，同时考虑汇率波动对美元资产投资收益的巨大影响，通过配对t检验和投资期末实际收益的描述性统计分析，对比中美三类主要投资的收益情况。发现在全样本期间内，受汇兑大幅变动的影响，中国股票、债券、储蓄的回报率均显著高于美国同类资产；而在较短的样本期片段内，汇率趋于平稳，则得出了相反的结论。 基于全样本期间的结论，本文的股票债券配置和行业配置均偏重于中国金融资产的持有，同时少量配置美元资产以分散风险和满足海外投资需求。按照恒定混合策略和均值方差理论，选取了月收益率均值、标准差、夏普比率、终值等指标，探索了适宜不同风险偏好投资者的股票债券配置方案。 最后，本文分行业收集了2005年1月1日-2014年12月31日美国5471家上市公司每月的股价点位，并计算其各行业指数，与中国各一级行业指数共同进行收益风险分析和行业间相关性检验，比较了中美两国各一级行业股票的投资收益情况，找到了能有效分散风险的中美行业对子，给出了适宜不同风险偏好投资者的行业配置方案。 本文充分说明了不同投资期内，中美两国投资收益相比高低亦不同。全样本的长期投资受到汇兑利差的影响较大，相比于美国金融市场，中国的投资收益更高。而就样本片段的短期投资来看，考虑近期的人民币贬值倾向，本文提出了汇率企稳的政策建议，对于完善人民币汇率形成机制有深刻意义。同时，本文确定的资产配置优化方案可以很好地指导中国境内机构投资者和个人投资者的进行中美资产配置，引导其强化理财观念和风险意识。
英文摘要：	With the rapid development of Chinese economy, exchange rate marketization has become an important issue. However under the new marketization, RMB has disturbingly depreciated and US Dollar has appreciated; many investors consequently consider to exchange RMB into US dollar to invest US financial market. This paper carries out research in order to check the rationality of the asset allocation of US assets, the proper proportion of Chinese and American stock and bonds, and the effective risk diversification of asset allocation between China and US. In this paper, the monthly data of the index of the two countries are collected from January 1, 2005 to 31st December,2014. Focused on the impact of exchange rate fluctuations on price, the paper compares the income per month of these 3 main types of investment by paired-t test and calculate the final value. We find that in the full sample period, China’s rate of return was significantly higher than that of US no matter what kind of financial assets. While in a relatively short sample period, the exchange rate tends to be stable, the rate of return come to the opposite conclusion. Based on the conclusion of the whole sample period, asset allocation in this paper is focused on the holding of Chinese financial assets, and a few American assets to spread risk. According to the constant mixed strategy and the mean variance theory, thisi paper select the monthly yield average, standard deviation, SHARP ratio, the final value to explore the suitable stock-bond plan for different investors. Finally, through the risk analysis, income analysis, industry-industry income correlation test, this paper compares the investment value of every industry in China and US, and match the best industry pair, which can diversify the risk. This paper make suitable industry collocation strategy for different investors. In this paper, the asset allocation optimization scheme can be used to guide the institutional investors and individual investors to carry out asset allocation in china. At the same time, the research results of this paper shows the development trend for the better China financial market and Chinese economy. It guide the masses to improve financial awareness and risk awareness. And it has an important role for people focusing on the stability of exchange rate and national financial environment changes and improving the RMB market mechanism and the mechanism of foreign exchange reserves.
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