Research Article
Analysis of the Effectiveness of Stock Selection Strategy Based on Quality Indicators in Stock Market Volatility
@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
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.