Research on Chinese International Securities Investment Based on Factor Analysis

摘要：

The correlation coefficients between countries and distributions stock returns are instable because of imbalance of geographic location or economic development of countries and distributions. Based on monthly data span from January 1998 to January 2009, the paper analyses the correlation and co-integration of stock markets returns of twelve countries or distributions such as China, America, etc through the correlation analysis and factor analysis. The result of research shows: the first factor represents the group of developing countries or distributions (such as China, Korea, Malaysia, etc.) because of the high correlation coefficients between countries or distributions stock returns; the second factor represents the group of developed countries or distributions (such as America, Japan, etc.); the third factor represents the group between developing and developed countries or distributions. It provides the relevant theory for Chinese international securities investment.

关键词： Chinese international securities investment correlation analysis factor analysis

作者: PAN Wenrong LIU Jixian

作者单位: College of Finance and Statistics, JiangxiUniversity of Finance and Economics, Nanchang, China 33001 College of Finance and Statistics, Jiangxi University of Finance and Economics

会议类型: 国际会议

会议名称: 2009 International Conference on Construction & Real Estate Management(2009建设与房地产管理国际会议)

会议地点: 北京

会议语种:英文

页码: 131-133

在线出版日期: 2009-11-05（万方平台首次上网日期，不代表论文的发表时间）