A switching regression approach to the stationarity of systematic and non-systematic risks: the Hong Kong experience
A switching regression approach to the stationarity of systematic and non-systematic risks: the Hong Kong experience
复制标题
系统性和非系统性风险平稳性的切换回归方法：香港经验
DOI：
10.1080/096031097333844
复制
发表时间：
1997
期刊：
影响因子：
--
通讯作者：
Joseph W. Cheng
中科院分区：
文献类型：
--
作者：
Joseph W. Cheng
Goldfeld和Quandt的切换回归方法（估计切换回归的技术，在非线性回归研究中，编辑S。M.戈德菲尔德和R. E. Quandt，巴林格，剑桥MA，1976）通过对6个行业投资组合和4个家族投资组合的市场模型参数的稳定性，检验了香港普通股的系统性和非系统性风险的平稳性。行业投资组合的经验证据表明，系统性风险成分在整个样本期内相当稳定。然而，非系统性风险在1980年2月至1992年12月的13年期间趋于下降。这也可能意味着该行业相对于其总风险水平的独特风险比例降低。因此，证券分析师不妨将相对更多的精力和资源用于分析整体市场表现，而不是广泛关注单个行业。关于家庭投资组合的非系统性组成部分，也出现了类似的结果。行业和家庭特定风险减少的证据可能进一步表明，在过去十年中，不同行业部门或不同家庭群体多元化的好处可能正在减弱。然而，家庭投资组合的系统性和非系统性风险结构的变化似乎并没有严重影响分析和监控单个家庭股票的回报。
The switching regression method of Goldfeld and Quandt (Technique for estimating switching regressions, in Studies in Nonlinear Regression, ed. S. M. Goldfeld and R. E. Quandt, Ballinger, Cambridge MA, 1976) is used to examine the stationarity of systematic and non-systematic risks of Hong Kong's common stocks via the stability of the market model parameters for six industry portfolios and four family portfolios. Empirical evidence for the industry portfolios suggests that the systematic risk component is fairly stable throughout the sample period. However, non-systematic risk tends to decline over the 13-year horizon from February 1980 to December 1992. This may also imply a reduction in the industry's unique risk proportion relative to its total risk level. Hence, security analysts may as well direct relatively more efforts and resources towards analysing the overall market performance rather than focusing extensively on individual industry. Similar findings emerge concerning the non-systematic component of the family portfolios. The evidence of a reduction in industry as well as family-specific risk may further suggest that the benefits of diversifying across different industry sectors or across different family groups may have been diminishing over the past decade. However, the shifts in the structure of systematic and nonsystematic risks of the family portfolios do not appear to have drastically affected the pay-off from analysing and monitoring stocks of individual families.