Year: 2025
Type: article
Abstract: In previous research, the integration of fundamental and technical analysis in predicting the stock price has been proved successful when compared to fundamental model or technical model partially. Meanwhile, considering the rapid growth and diversification of Chinese stock market in recent years, it is promising to apply a hybrid strategy to CSI 300. The strategy implemented in this research is a momentum strategy that combines Technical Momentum and Fundamental Factors. In this paper, this strategy is implemented in CSI 300 data from January 1, 2014 to March 31, 2024 and it turns out that the annualized volatility of portfolio falls to more than half that of CSI 300 index after sector neutralization and ranking filter. Although this strategy does not demonstrate an outstanding annualized return, this research is still a valuable exploration in improving the stability in stock selection and enhancing risk management.
Authors: Ruichen Wang, Jueying Zhu, Qin Han, Yuning Zhang
Language: English
Subfield: Finance
Domain: Social Sciences
Open Access status: hybrid
OpenAlex ID: W4409618989