风险的时间尺度--对中国股市的实证分析

在金融风险管理中，投资者常常采用不同时间间隔的交易数据来估算资产的风险．投资界在投资实践中经常使用时间间隔的平方根规则将短期风险转换成长期风险，这种缩放比例关系在高频收益率是独立同分布下是有效的．文章采用中国股票市场数据进行实证分析，结果表明：中国股票市场(与大多数其它市场一样)的日收益率是非独立同分布的，使用缩放比例关系进行风险转换是不适当的，可能会引导投资者得出错误的推断．

Temporal dimension of risk:Empirical investigation of China's stock market

In financial risk management, risk is assessed at different horizons. A common practice of practitioners is that risk measures calculated at shorter horizons are converted into risk measures of longer horizons by scaling by the square root of horizon. This type of scaling is valid if the high-frequency returns ratio is identically and independently distributed(iid). Using the historical data from China's stock markets, it is shown that Chinese daily stock returns are far from being iid, just as those in most other markets, and the scaling approach used in the financial risk analysis is inappropriate and may lead to wrong inferences and practices.