Research Article
Data Analysis of Effective Frontier of The Shanghai and HongKong Stock Market in Different Periods
@INPROCEEDINGS{10.4108/eai.18-11-2022.2326905, author={Yilin Wang and Haiyan He and Yongke Yuan}, title={Data Analysis of Effective Frontier of The Shanghai and HongKong Stock Market in Different Periods}, proceedings={Proceedings of the 4th International Conference on Economic Management and Model Engineering, ICEMME 2022, November 18-20, 2022, Nanjing, China}, publisher={EAI}, proceedings_a={ICEMME}, year={2023}, month={2}, keywords={data analysis; effective frontier; the shanghai and hong kong stock market; stock index}, doi={10.4108/eai.18-11-2022.2326905} }- Yilin Wang
Haiyan He
Yongke Yuan
Year: 2023
Data Analysis of Effective Frontier of The Shanghai and HongKong Stock Market in Different Periods
ICEMME
EAI
DOI: 10.4108/eai.18-11-2022.2326905
Abstract
To demonstrate the risk and yield changes of the Shanghai and Hong Kong stock market in different periods, effective frontier computing model of the stock market was founded by comparing the historical data of more than 20 composite indices of the Shanghai-Hong Kong stock market, each four stock indices were selected as the research object, the two effective frontier curves were drawn, and the effective frontier curves of the Shanghai-Hong Kong stock market were compared with the change of the expected rate of return in 2010-2019. The results showed that with the increase of investment risk, when the investor's willingness to invest in a risky portfolio gradually increased, the expected return rate in the Shanghai stock market was higher than that of the Hong Kong stock market, the investment value was higher in general. The effective frontiers comparison of the two stock markets in 2010-2013 and 2016-2019 showed that the investment risk of the Shanghai-Hong Kong Stock Exchange decreased after the opening of Shanghai-Hong Kong Stock Connect.