安全投资转移视角下的跨行业投资组合模型及实证

doi:10.16381/j.cnki.issn1003-207x.2020.11.002

Abstract

Abstract: Investors' flight-to-quality behavior results in the flow of funds between industries based to market regime switching and sector rotation. Furfine (2003) divides systemic risk into two dimensions. First, the time dimension. External shock impacts all industries at the same time, leading to time dimension systemic risk. The shock accumulates over time and closely related to macroeconomic cycle. Second, the cross-sectional dimension. When external shock impacts one industry, the flight-to-quality behavior of investors will transfer funds from the industry to other industries, which will in turn cause cross-industry risk spillover. Cross-industry risk spillover contributes to the risk of an industry as a systematic risk of cross-sectional dimension, thus it is necessary to consider the effect of cross-industry risk spillover on asset allocation.
The cross-industry risk spillover from the perspective of investors' flight-to-quality behavior is studied in this paper. The order flow differential (OFD), constructed as the difference between large- and small-cap stock order flows, is used to measure flight-to-quality behavior.Flight-to-quality behavior causes cross-industry co-movement and risk spillover. The State-Dependent SensitivityVaR model (SDSVaR) is used to quantify risk spillovers among sets of different industries. Based on this, the cross-industry portfolio model with further consideration of sector rotation effect is constructed.
It is shown that investors' flight-to-quality behavior significantly affectscross-industry co-movement and risk spillover. The portfolio model that considers risk spillover among industries can disperse non-systemic risk and reduce the systemic risk of cross-section dimension, and effectively avoid extreme risk. In addition, considering regime switching and sector rotation in asset allocation can resist market risks and increase investment return. The study on risk spillover and sector rotation in cross-industry portfolio optimization provides valuable reference for investors and regulators.

Key words: asset allocation, flight-to-quality, risk spillover, sector rotation, regime-dependent

CLC Number:

JIN Xiu, CHEN Na, WANG Jia. Empirical Study on Cross-industry Asset Allocation Model under the Perspective of Flight-to-quality[J]. Chinese Journal of Management Science, 2020, 28(11): 12-22.

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Empirical Study on Cross-industry Asset Allocation Model under the Perspective of Flight-to-quality

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