The Research Of Style Distribution Based On The Hierarchical Structure Of Portfolio

In securities business, the stocks which have some collective characters and make the similar yield are entitled to be in one style. As a new embranchment of the Portfolio Theory, style investment is paid more and more attention of investors and academia, because of its directing role in collocating assets and managing risk, and its objectivity in evaluating the outstanding achievement.Consequently, it's important and imperative to research styles in securities business and their attributes. Aimed at the problem of the popular parameter analysis method, which would bring the diversity of results in style investment analysis, the method of subdominant ultra-metric space is introduced to the research of style investment. Firstly, the correlation coefficients between every two stocks are calculated, then the distances between stocks are gained. Secondly, subdominant ultra-metric space is built through the Kruskal algorithm of MST. Finally, mapping the subdominant ultra-metric space into hierarchical structure would give out the distribution of styles.The objects of investigation are samples of Shanghai 50 Index from 2004 to 2007, samples of Hushen 300 Index from July, 2005 to 2007, and samples of Liaoning Province listed companies from July, 2005 to 2007. Demonstration shows that, (l)The style effect is prominent, especially for the industry style, and the other styles, for example, the sharing style, the event style, the capital style and the size style are distributed independently in different periods; (2)Among the calling styles, steel, finance and insurance, coal-electricity energy sources and water supply, food and drink, realty style are clear remarkable. Electron, petroleum chemical, aviation, freeway and bridge, automobile and commerce style are notable, but calling styles of first, third industry is not significance and representation of modern agriculture and service industry is especially absent; (3) Along with the time, the structure of portfolio inside the style is evolving, but steady on aggregate. (4) Because publish list firm of financial class gradually locate center node of MST, it shows core status of finance in modem economy;(5)The non-tradable shares reform made the stocks more correlative, and changed the holistic structure of securities business. It's a fire-new way to prove the active significance of the non-tradable shares reform. The series of results shows that industry style is the major style in securities business of China, and the non-tradable shares reform made the market more effective. The styles and their inner structure would be helpful for collocating portfolio, improving yield of stocks index futures for Shanghai 50 and Hushen 300, reducing systemic risk. The number and quality of enterprises of calling among the first and third industry are not adequate, which is the basal reason why some sample has no style.