Year: 2025
Type: article
Abstract: This study combines fundamental and volatility analysis to develop investment strategies for the Chinese stock market, focusing on 2015-2023. By analyzing stock data such as daily trading volumes and financial indicators, it identifies potential investment opportunities. The research excludes stocks with delisting risks or those listed for less than two years. Two main strategies are explored: the Alpha Volatility strategy, which selects stocks based on the 20-day standard deviation of trading volume, and the Alpha Fundamental strategy, which focuses on profitability and leverage. Initial tests of the volatility strategy showed poor performance, but after refining, it achieved a cumulative return of 38.44% and a Sharpe ratio of 1.18. The fundamental strategy's refinement, however, led to underperformance, with a cumulative return of -15.22%. Combining the two strategies did not yield favorable results, with an out-of-sample test showing a cumulative return of -4.77%. The study highlights the challenges of integrating fundamental and volatility factors, as well as the need for further refinements to adapt to market conditions.
Language: English
Subfield: Finance
Domain: Social Sciences
Open Access status: hybrid
OpenAlex ID: W4409778178