渐进开放市场中资产所有权的异质跨境整合效应及风险分散策略

A debate has emerged in financial literature concerning the optimal portfolio strategy in the process of financial market opening. This study attempts to solve the debate using the evidence of China’s financial market opening in its post-WTO accession period. This study also contributes to the literature by examining this issue in the context of exploring the interaction mechanism and its underpinning reasons between market integration and market interdependence, rather than focusing on market interdependence solely in previous studies. Firstly, this study reconciles the ambiguity between market integration and market interdependence, and gauges the degrees of market integration and market interdependence between China’s and the world stock markets after China’s accession to the WTO. In so doing, this study identifies the overall and individual effects of China’s financial liberalization polices after the distorting effects of the global and domestic factors have been filtered by a calibration system. Secondly, using the obtained time series of degrees of market integration and market interdependence, this study examines the channel role played by foreign ownership in the interaction mechanism between market integration and market interdependence, and highlights the heterogeneous integration of asset ownership across markets, which is induced by the diversity of foreign ownership among various listed companies in China’s domestic stock market. Lastly, this study seeks to propose a novel portfolio diversification strategy, which is based on foreign ownership of listed companies, and compare its risk diversification effects with that of the traditional geographic and industrial strategies. This study is going to optimize the portfolio strategies in the process of financial market opening and to facilitate the development of financial liberalization theory.

已有研究表明，金融市场开放使得投资组合的最优风险分散策略存在争议。本项目针对我国金融市场渐进开放的现实国情，力图突破传统研究侧重市场依存单层面的局限性，以市场跨境整合和市场依存之间关系为切入点，探索两者的作用机制及微观机理，系统研究渐进开放市场的最优风险分散问题。首先，对入世后我国证券市场和国际市场之间跨境整合效应和跨境依存效应进行区分、识别和度量，构建可行参考系分离内外干扰因素的影响，确定我国主要开放政策的整体效果和相对效果；然后，通过所获得的跨境整合和跨境依存的时序度量值，从宏微观角度剖析外资所有权在市场跨境整合对市场依存的影响机制中的通道作用，进而发掘境内上市公司因其外资所有权结构差异而产生的资产所有权异质跨境整合效应；最后，提出基于外资所有权的投资组合风险分散策略，将其与传统的跨国分散策略和跨行业分散策略进行效果比较，优化渐进开放金融市场的风险分散策略，促进金融市场开放理论的发展。

本项目针对我国资本市场渐进开放的现实国情，以资本市场开放的跨境整合效应和跨境依存效应之间的关系为切入点，对入世后我国证券市场和国际市场之间跨境整合和跨境依存的双重效应分别进行区分、识别和度量，剖析出外资所有权在市场跨境整合对市场跨境依存的影响机制中的通道作用，探讨因外资所有权结构差异而导致的异质跨境整合效应，并以此探讨渐进开放市场中最优投资策略的构建。首先，通过理论分析和模型比较，本项目改进基于随机折扣因子的弱势度量方法和多因子拟合优度法对跨境整合程度和跨境依存程度分别进行度量，并构建可行参考系分离内外干扰因素的影响，获得两者的时序度量值，以此确定我国主要开放政策的整体效果和相对效果，发现我国资本市场开放政策在总体上增强了我国证券市场与国际市场之间跨境整合程度和跨境依存程度，但降低了国际投资组合的风险分散能力；然后，以全球主要资本市场为研究对象，基于面板数据分析，确定市场跨境整合对跨境投资组合风险分散能力的影响，并运用层次回归模型明确市场跨境依存效应在其中的完全中介作用，从而阐明外资所有权差异所引致的异质跨境整合效应，并提出相应的区域投资组合风险分散策略来降低资本市场开放的风险，发现亚洲区域的投资组合风险分散能力要优于全球性投资组合；最后，基于跨期消费储蓄和投资的基础模型，在考虑投资者时间不一致偏好和风险厌恶态度的情况下，通过数理建模的方式，探讨异质跨境整合效应下的跨境投资组合构建策略，提出不确定性跨期决策问题中HJB方程的等价替代获取方法，得出跨期消费储蓄和投资问题的最优消费和投资规律，为开放过程中投资者消费储蓄和跨境投资资产组合的构建策略提供参考。本课题能为金融监管层评估我国资本市场开放政策的影响提供新思路，为金融市场参与者提供了渐进开放过程中跨境投资策略的新模型，为资本市场开放和风险管理理论提供新视角。

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