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Ail Empirical Study of the Risk Changes in the Law of Portfolio Scale in the Stock Market of China and the United State

Author: WangHuiLi
Tutor: ZhangPeng
School: Wuhan University of Science and Technology
Course: Management Science and Engineering
Keywords: Size of the portfolio composition of risk Systemic risk Methods of Portfolio Empirical Research
Type: Master's thesis
Year: 2013
Downloads: 25
Quote: 0
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With the rapid development of technology and the formation of economic globalization, ithas become inevitable that more and more investors are trying to reduce risk throughcross-border Stock Market. However, it is difficult to measure the effect that how thiscross-border portfolio investment reduce the risk. The cross-border investment involves manyfactors and changing the scale of investment is the most direct and simple way. With the increaseof the scale of investment, the investment management fees also increased, which is vital toknow the appropriate scale of investment to make the most favorable investment. And the basicrequirements of the rational investors are mastering the scale of investment, the change of theinvestment ratio and the change laws of the risk. Therefore, it is a vital problem to study the riskchange laws with the increase of investment scale for researchers.The paper has calculated the portfolio yield and portfolio risk under the different sizes ofthe Sino-US stocks using a simple same weigh combination method by choosing40well-performance, industry-wide stocks of three years as the data, respectively. Then, theregression model is achieved according to the combination size and risk regression analysis tocalculate their system risk and non-systematic risk. By comparative analysis, the author putforward the appropriate investment scale in China’s stock market and the U.S. stock market andintroduces the suggestions for China’s stock market according to the index analysis. Base onthose results, the paper calculates the yield and the risk of portfolio under different scale bychoosing20stocks as a combination in China and the United States stock market and gets theportfolio scale regression model with the combination size and risk regression analysis.Meanwhile, the Markowitz investment theory with tedious calculations but high accuracy is usedto calculate the portfolio systematic risk and unsystematic risk and the appropriate scale ofportfolio investment is proposed through using related indicators to analyze the market. Finally,the paper draws the conclusion that the Sino-US portfolio can reduce systemic risk and increaserevenue and also can reduce the system risk to a certain extent.There are some limitations in depth and breadth of the study, but it is a useful explorationand positive attempt to guide the cross-border stock market investment.

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