关键词: 空间资本资产定价模型, 空间交互作用, 状态依赖, 系统性风险

Abstract: This paper constructs an economic distance based spatial weight matrix to capture the spatial interaction among assets, considers the influence of market regime on spatial interaction,  and develops a return estimation model taking into consideration spatial interaction in regime-dependence. By deriving the covariance matrix of expected return, an asset allocation model considering both time and cross-sectional dimensional systemic risks is constructed. It is found that spatial interaction is regime-dependent and has a significant explanatory power for return. The beta coefficients in regime-dependence capture the time dimensional systemic risk, while the indirect effects and feedback effects capture the cross-sectional dimensional systemic risk. Consideration of the spatial interaction in regime-dependence can improve the performance of the asset allocation model and provide valuable reference for investors to make decisions.

Key words: spatial asset pricing model, spatial interaction, regime-dependence, systemic risk