摘要
随着我国资本市场双向开放的力度不断增大和跨境投资体系的逐步完善,规模化的跨境股票资产配置需求也随之上升。本文基于投资时钟理论和Black-Litterman模型,测量了2008年以来全球经济周期不同阶段的行业指数表现,提出了在发达市场和新兴市场进行行业配置的策略建议并比较了不同策略下的投资收益。实证分析显示,投资时钟和Black-Litterman模型的结合在全球股市行业配置中具有一定适用性。在经济周期不同阶段通过对不同策略的有效把握,有助于捕捉行业的周期性特征带来的投资机会,从而有利于在经济波动中更好地获得长期均衡收益。
With the continuous expansion of the two-way opening of China’s capital market and the gradual improvement of the cross-border investment system,the demand for large-scale cross-border allocation of stock assets is increasing.Based on Investment Clock Theory and Black-Litterman Model,this paper measures the performance of investment strategies in different periods of the global economic cycle since 2008,puts forward strategic suggestions for industry allocation in developed and emerging markets,and compares the investment returns under different strategies.The empirical results show that the combination of investment clock and Black-Litterman model has certain applicability in the industry allocation around global stock market.The effective grasp of different strategies in different stages of the economic cycle can help to capture the investment opportunities brought by the cyclical characteristics of the industry,and help to gain the long-term equilibrium income in the economic fluctuations.
作者
王莹
潘文捷
Wang Ying;Pan Wenjie(Institute of World Economy,Shanghai Academy of Social Sciences,Shanghai 200020;School of Economics,Xiamen University,Xiamen 361005)
出处
《数量经济研究》
2022年第3期36-53,共18页
The Journal of Quantitative Economics
基金
国家社会科学基金重大项目“制度型开放与全球经济治理制度创新研究”(20&ZD062)的资助
关键词
经济周期
投资时钟
行业轮动
资产配置
Economic Cycle
Investment Clock
Industry Rotation
Asset Allocation
作者简介
王莹(1972-),女,上海社会科学院世界经济研究所研究员,研究方向为宏观经济和政策评估;潘文捷(1995-),男,厦门大学经济学博士研究生,研究方向为金融数学、数量经济。
