尘娜 金秀

摘 要：投资者根据市场状态变化进行安全投资转移，引起资产间的资金流动和风险相关性变化。利用Markov状态转移模型识别市场状态，订单流差异衡量安全投资转移，基于CAPM的标准化协方差矩阵衡量风险相关性。研究发现：我国股市存在熊市、横盘和牛市三种状态，横盘状态下安全投资转移水平急剧提升。在时间维度上，横盘状态下安全投资转移对行业间风险相关性的影响最大;在截面维度上，同一状态下安全投资转移对安全型行业-风险型行业所组成行业对的风险相关性影响程度最大。结果表明，安全投资转移引起行业间风险相关性负向变化，使得行业间风险相关性减少。投资者同时配置受安全投资转移显著影响的安全型和风险型资产，可以降低投资组合系统性风险。

关键词：风险相关性;安全投资转移;市场状态;订单流差异

中图分类号：F 832.5

文献标志码：A

文章编号：1005-9679（2021）02-0015-07

Abstract：As the market regime shifts， flight-to-quality causes capital flowing and risk correlation changing among assets. Markov regime switching model is used to identify market regimes， order flow difference is used to measure flight-to-quality， and risk correlation is measured by standardized covariance matrix of CAPM. The empirical analysis show that：There are bear， sideway and bull regimes and flight-to-quality sharply increase in sideway regime. In the time dimension， the effect of flight-to-quality is biggest in sideway regime; in the cross-sectional dimension， the effect on safe industry-risk industry is biggest. The results show that the negative change of cross-industry risk correlation will decrease risk correlation. Investors can reduce the systemic risk of portfolio by allocating both safe and risk assets which are significantly affected by the flight-to-quality.

Key words：risk correlation; flight-to-quality; market regime; order flow difference

資产间的风险传导渠道通常分为两大类：真实联系渠道和信息渠道。在真实联系渠道上，风险相关性取决于实体经济中的实质性物理联系，例如国家间的进出口贸易、国民经济部门间的投入产出等。在信息渠道上，风险相关性取决于金融市场中的投资者交易行为，资产间没有实质性联系。Debarsy等（2018）评估风险传导渠道的相对重要性，结果发现信息渠道上的风险传导较重要。学者们越来越关注信息渠道上投资者交易行为所引起的风险传导，一些学者基于安全投资转移视角研究资产间的风险相关性。……