| China's stock market has undergone profound changes after 2006. The start and completion of the split-share reform has changed the operation conditions and operating environment of China's stock market, which has a far-reaching impact on China's stock market. Moreover, the Chinese stock market has experienced sharp rise in 2006 and 2007 as well as the sharp drop in 2008, and also suffered the impact of the international financial crisis. It can be said that the irrational speculation in the market is relatively small and the stock price is at a more reasonable price range.However, Chinese scholars'research on the optimal share numbers of equity portfolio has come to a halt until 2006. Therefore, it is necessary to re-examine the optimal number of shares based on data from the end of 2008 to the end of 2009.Chapter 1 discusses the investment risk on the stock market. With regard to the investment in one security as well as the investment in many securities by constructing a portfolio, securities investment risks include systematic risk and non-systematic risk which can be spread or reduced through portfolio investment. The completion of the split-share reform has improved the effectiveness of China's stock market, thereby increasing risk diversification efficiency of investment portfolio management.Chapter 2 is the empirical research to study the risk changing circumstances with the number of shares of the portfolio increasing. This paper uses sample stocks of the SSE 50 Index as the research object. The time span is from October 29, 2008 to September 30, 2009. Through improved methods of sampling, building stock portfolios containing 1,2,3, ... ... 25 stocks, using Excel software to calculate the standard deviation of each portfolio, and analyzing the standard deviation changes. This paper gets the following conclusions: First, from a general point of view, with the increase in the number of stocks, the standard deviation of the portfolio showed decreasing trends; Second, except for a few special circumstances, with the increase in the number of stocks, the reduction of standard deviation is gradually decreasing;Third, systemic risk accounted for a majority of the total risk, reaching 3 / 4 or more; Fourth, because the systematic risk can not be eliminated by portfolio investment, the role of risk diversification of stock portfolio is relatively reduced . Before and after the financial crisis, because the correlation coefficient of stock returns increased, the ability of portfolio to diversify risk is diminished. From point of view of the portfolio sequences build in this paper, most of the non-systemic risk has been dispersed when the share number of portfolio reaches 4 above, and then extra risk can be dispersed from the increase in the number of shares is limited.Chapter 3 attempts to arrive at accurate conclusions of the equilibrium stock numbers from the "marginal revenue" and "marginal cost" point of view. Empirical studies have shown that when the number of shares included in the portfolio increased, the portfolio risk reduced, i.e. the portfolio standard deviation decreases, which is the "marginal revenue" of investment diversification. To coincide with the "marginal cost" analysis and link up the two parts, this part uses the capital market line (CML) formula of capital asset pricing model to transform the portfolio standard deviation change into the amount of change of expected benefits. On the other hand, analyze the "marginal cost" of investment diversification. The increased costs include the accurately measured costs and the costs that can not be accurately measured. In order to make the analysis more comprehensive, use the fund management rate to represent the costs that can not be accurately measured, such as the time, search, identification and other. Thereby the fund rate represents all the marginal costs as the number of shares increases. Because the sample stock of this study is from the SSE 50 Index, use the Huaxia SSE 50ETF as the reference fund.The equilibrium point is where the marginal revenue equals marginal cost. At this point, investors will neither expand nor shrink the portfolio. The marginal cost curve is a straight line, but the marginal revenue curve is not a regular hyperbola, therefore, the equilibrium point is not only. If you do not consider the 5th, 8th and 13th stocks which have unusual changes, you can see that before the number of shares in the portfolio reach 21, the "marginal revenue" of diversification, the change of expected return, is greater than the "marginal cost", after which the "marginal revenue" begin to be stabilized less than the "marginal cost". Investors will not expand the number of shares in the portfolio to 22, so the balanced number of shares is 21.On the other hand, consider the impact of the 5th, 8th and 13th stocks, the specific number may be subject to the risk attitudes and behavior patterns of investors. First, if the investor is radical, who will still choose to expand his portfolio when he get a negative net profit in order to obtain possible future earnings, the equilibrium number of shares in his investment portfolio will be maintained at 21; Secondly, if the investors are very conservative, he will not increase the number of shares once the net profit is negative, the balanced number of shares may be 4; Third, if the third kind of investors is between the two types of investors in front, the balanced number of shares should be 7 or 12.Yet some potential improvements of this paper are: First, the combinations built in this paper are equal-weighted combinations, which are not necessarily on the Markowitz efficient frontier. Considering the non equal-weighted combinations, research findings maybe need amendment. Second, this paper choose the Huaxia SSE 50ETF Fund as the measurement standard of the "marginal cost" of the increase in the number of stocks, which is consistent with the study of this paper but also has enough representation. But whether other fund is a better representation and the reason needs further study. Thirdly, the number of shares for portfolio investment held by individual and institutional investors still lacks empirical research data, therefore, whether it is consistent with the conclusions of this study or the reasons for the discrepancy could not be explored now. |
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