Proceedings of the 5th Management Science Informatization and Economic Innovation Development Conference, MSIEID 2023, December 8–10, 2023, Guangzhou, China

Research Article

Analysis of the Effectiveness of Stock Selection Strategy Based on Quality Indicators in Stock Market Volatility

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  • @INPROCEEDINGS{10.4108/eai.8-12-2023.2344712,
        author={Kangrui  Lu and Yongxin  Zhao},
        title={Analysis of the Effectiveness of Stock Selection Strategy Based on Quality Indicators in Stock Market Volatility},
        proceedings={Proceedings of the 5th Management Science Informatization and Economic Innovation Development Conference, MSIEID 2023, December 8--10, 2023, Guangzhou, China},
        publisher={EAI},
        proceedings_a={MSIEID},
        year={2024},
        month={4},
        keywords={quantitative investment; machine learning; quality indicators; stock market volatility},
        doi={10.4108/eai.8-12-2023.2344712}
    }
    
  • Kangrui Lu
    Yongxin Zhao
    Year: 2024
    Analysis of the Effectiveness of Stock Selection Strategy Based on Quality Indicators in Stock Market Volatility
    MSIEID
    EAI
    DOI: 10.4108/eai.8-12-2023.2344712
Kangrui Lu1,*, Yongxin Zhao1
  • 1: Hebei Finance University
*Contact email: 18438589811@163.com

Abstract

This study aims to explore the effectiveness of a quality-based stock selection strategy during periods of stock market volatility. We utilize the real data from the CSI 300 Index from January 2014 to April 2023 and divide this period into stable and volatile periods using the historical volatility threshold method. Through machine learning-based multiple regression analysis, we construct a quality-based stock selection strategy based on profitability, growth, and safety factors, and conduct strategy backtesting. The results show that the performance of this strategy is better during volatile periods compared to stable periods. Therefore, we conclude that the quality-based stock selection strategy is effective during periods of stock market volatility and provides useful guidance for investors' decision-making.