Characteristics Analysis To Stock Market Plate Based On Kmv Model And Symbolic Data Analysis

Having had a lot of fundamental reform, China's capital market has entered a stage of rapid development since 2005. As a result, how to get more information from the stock market so that we can increase investors' return, improve the stock market's ability of allocating resources and monitor the credit risk of listed companies has been a question of greater theoretical and practical significance. In such a context, this article tries to do some research on quantitative analysis of credit risk and to analyze in depth the Chinese stock market performance.Our main methods include the SDA(symbolic data analysis) models and the KMV model which is based on Merton option pricing theory. Based on the actual situation of China's capital market, we had several aspects of study:Using principal component analysis and cluster analysis methods of symbolic data to analyze the five important indices of eight plates, such as the total market capitalization, the output of KMV model EDF and turnover rate, etc., we expect this analysis can glean some useful information from the correlation among indices and their meaning, as well as characteristics of stock plates.Research findings show that, we combine the SDA(symbolic data analysis) models and credit risk measuring. Our empirical result is fine. With strong theoretical and practical value, KMV model has a strong predictive power of risk. EDF, the output of KMV model, does not relate to the total market value while has a significant positive correlation with stock market performance(in amplitude, turnover), suggesting that the speculation atmosphere is quite serious in current A-share market, and the value investment philosophy still has long way to go. We divided all the sections into three categories by principal component analysis and cluster analysis, providing a good reference for both long-term and short-term investors.