An Analysis of China A-Shares in International Asset Allocation

• Main Authors: LING,GongYi, 凌鞏藝
• Other Authors: Chen, WeiPeng
• Format: Others
• Language: zh-TW
• Published: 2017
• Online Access: http://ndltd.ncl.edu.tw/handle/42jry7

碩士 === 國立臺北科技大學 === 資訊與財金管理系碩士班 === 105 === In this paper, we study the portfolio construction of the eleven countries which index countries of MSCI emerging market index.The study mainly contains the two periods of time during the financial crisis and the time after the financial crisis,the efficient frontier of investment portfolio, measured by Sharpe Ratio.The analysis results show that the China A-shares have significantly improved their investment portfolios during the financial crisis.Compared with the period after the financial crisis,its effect is not obvious like the period during the financial crisis, but the GMV Portfolio has improved. The study results show that the participation of China A-shares in emerging market investment portfolio can effectively reduce risks and boost portfolio yields from the perspective of international diversification investment.Joining China A-shares after the financial crisis is also conducive to reducing the minimum risk of investment portfolio. Thus this will provide study reference on study for future China A-shares’s joining MSCI emerging markets index and international bilateral investment.