中国股票市场风险和收益风格效应的非参数检验

本文利用Kendall协同系数检验考察我国股票市场风险和收益的风格效应。通过实证研究首次发现各风格指数的收益率、总风险及指数特有风险均具有明显的分层结构,风格效应显著。对影响风险和收益的风格因素进行的分析表明:股票风险受规模因素的影响十分明显;而股票回报率受价值因素的影响比较显著,受规模因素的影响不明显。并进一步用Spearman相关系数考察了风险与收益之间的秩相关性。本文研究结果对资产配置和风险监管等问题具有参考价值。

Non-parametric test on the style effect of return and risk in Chinese stock market

Using the test of Kendall's coefficient of concordance,this paper studies the style effect of return and risk in Chinese stock market.The results of our empirical research show that the returns,total risks and non-system risks of style indices have distinct hierarchical structure, which means that the style effect is distinct,By analyzing the style factors,we find that size factor has a relative marked effect on risk while value factor influence return much more than size factor.Using the test of Spearman correlation coef- ficient,we study the rank correlation between risk and re- turn.The results of this paper have useful information for asset allocation and market supervisal.