Statistical Analysis Of Shanghai 50 Index

After more than 30 years' development and growth,China's securities market has become the most economically influential area.However,China's securities market is still in its infancy.Compared with developed countries,it is still an immature stock market.At present,due to the disorderly competition,monopolization of information and non-standard operating mechanisms in the Shanghai stock market,,the Shanghai stock market has fluctuating prices.This high-risk feature is the focus of our attention.Research on the return on investment in the securities market has become one of the most important issues in the securities market research.The stock index is an important index reflecting the price trend of the stock market.In addition to the risk-return characteristics of the general stock price,the stock index has its unique characteristics of volatility.Therefore,the analysis of the Shanghai 50 Index in this paper can reflect the Shanghai stock market to a certain extent,so that investors can get statistical decision supports for the investment in the Shanghai 50 index or its related index derivatives(ETF warrants,stock index options).Based on the significance of the research background,this article introduces the basic situation of related research and the theoretical basis of the statistical analysis methods involved in this article;based on the Shanghai 50 Index from January 4,2015 to March 12,2018,studying the weak validity of the Shanghai 50 Index and time series modeling;using the 16 financial indicators of 50 listed companies included in the Shanghai Composite 50 Index in 2017,through factor analysis,the main factors affecting the internal investment return are analyzed.Finally,the correlation between the Shanghai 50 Index and the Shanghai Composite Index was analyzed.The empirical results show that:From January 4,2015 to March 12,2018,the Shanghai 50 Index was non-weakly effective,and its return rate was in line with the ARMA model and GARCH model;factor analysis extracted the company's profitability factor,company scale factor,cash flow factor and the company's operating factors are the four common factors,and according to this,it gets the comprehensive scores and rankings of 50 listed companies.Finally,the linear regression analysis verifies that the Shanghai Composite Index has a linear correlation with the Shanghai Composite Index,with an estimated value of 0.877.This shows that the Shanghai Composite Index is in an expanded state relative to the Shanghai 50 Index,and the stability of the Shanghai Composite Index,which consists mainly of large-cap blue chip stocks,is relatively stable.