Quantitative Analysis On Application Of Stock Market In China

From the beginning of the 18 th century, the pioneer of the financial investment has begun to explore a variety of different investment methods. They have tried to from the value analysis, risk arbitrage to day trading, etc in different directions after years of evolution. So in the current changing of China’s capital market, what investment direction do we urgent need to explore? This paper argues that quantitative investment is drawing more and more attention as China’s emerging market investment methods.The title to the quantitative analysis of application in the A-share market starting from the theoretical basis of the quantitative investment, combined with the history of the reform of the A-share market in China, and explore the method of quantitative analysis and the latest application of quantitative tools in a-share market. Using the GARP strategy on Chinese A-share market has carried on the empirical research at the same time. We do the validity checking and eliminate the redundancy factor on the candidate factor. With price-to-earning ratio, price-to-book, PCF(city rate) and PEG as the value factor, the long-term net profit growth rate, sales net interest rate, ROE, advocate business income growth as growth factors. Structure by stock pool using the method of sorting stock, respectively use value, growth and GARP stock selection model constructed three different stock portfolio. We compares the differences of these three strategies from the perspectives of price movements and industry distribution. In this paper we also do to GARP combination optimization model, the markowitz mean variance model applied to the last issue of the GARP portfolio. We adjusting the individual stocks in the portfolio investment ratio and raise the overall combination of current earnings effectively.Final results show that in January 2013 to December 2014, the value of combined total revenue of 11.3%, 5.2% annualized compound yield, information ratio reached to 0.61, market-beating probability is 66%. Growth portfolio accumulative total revenue is 13.6%, 6.1% annualized compound, information ratio reached to 0.66, outperform the market is a 71% chance. GARP combination accumulated profits is 18.9%, 8.6% annualized compound, information ratio reached to 0.7. The probability that outperform the market is 75%.Whether accumulated earnings, annualized compound returns, information ratio or winning percentage, GARP strategy are outstanding. This is mainly due to the volatilityof the stock market at present, only "intensive cultivation" can have benefits and GARP strategy is belong to the "intensive cultivation".