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Stock Model Analysis and Investment Strategy Based on Chinese-Style Stock Valuation System

In: Proceedings of the 2024 3rd International Conference on Public Service, Economic Management and Sustainable Development (PESD 2024)

Author

Listed:
  • Le Luo

    (University of Washington (Seattle), Economics, Department of Economics)

  • Pan Deng

    (The Chinese University of Hong Kong (Shenzhen), Data Science, School of Data Science)

  • Yufei Zou

    (University of California (Davis), Economics and Psychology, College of Letters and Science)

Abstract

This study delves into the Chinese-style stock valuation system (CSVS), considering factors such as China’s economic transformation, regulatory changes, and industry upgrades. The research first establishes a unique valuation system based on multidimensional features (policy background, market positioning, and expert analysis), screens stocks that meet Chinese characteristics, and constructs profiles for these stocks. It then extracts the features of these stocks (risk indicators, growth rates, etc.), including using the ARIMA model to capture the dynamic fluctuations in stock returns. Subsequently, the K-means clustering method is employed to classify Chinese-style stock companies into five types. Finally, the study designs and empirically tests investment portfolio strategy combining CSVS and economic hotspots, using both Markowitz optimization and equal weighting methods. The event-driven strategy with Markowitz optimization as a weighted approach achieved a 13.54% return rate from January to June 2024, outperforming the traditional equal weighting approach and providing valuable decision support for investors.

Suggested Citation

  • Le Luo & Pan Deng & Yufei Zou, 2024. "Stock Model Analysis and Investment Strategy Based on Chinese-Style Stock Valuation System," Advances in Economics, Business and Management Research, in: Qiujing Wu & Songsong Liu & Guoliang Wang & Jia Li (ed.), Proceedings of the 2024 3rd International Conference on Public Service, Economic Management and Sustainable Development (PESD 2024), pages 416-435, Springer.
    • Handle: RePEc:spr:advbcp:978-94-6463-598-0_43
    DOI: 10.2991/978-94-6463-598-0_43
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