Research On Crash Warning Of HS300 Index Based On MIS

The stock market crash is an abnormal phenomenon in the capital market,which means that there is an extreme decline in individual stocks or stock indexes without obvious signs.The identification and prediction of the collapse is very important for traders,financial market regulators and risk managers,because a series of large price falls in a short period of time will trigger stock market turmoil,damage investors' wealth and reduce the efficiency of the securities market.And even disrupt the normal development of the capital market.The thesis builds an early warning indicator of the collapse based on the information share.The concept of information share was proposed by Hasbrouck,and the share of information associated with a particular market is defined as the proportion of the market's contribution to common effective price innovation.That is to say,the information share is a measure of who is the first to respond to market information during the price change process.In the process of price discovery,some stocks are information leaders,while others are information followers.When the market changes drastically,there must be a few constituent stocks to capture the future trend of the index.Its performance is more convergent with the index and the information share is larger.At this time,the variance of the information share of the constituent stocks changes significantly.Therefore,this paper constructs an early warning indicator based on the variance of the information share of constituent stocks.The thesis uses the data of the Shanghai and Shenzhen 300 Index and its constituent stocks from April 8,2005 to November 30,2018 to calculate the information share and analyze its early warning effect.The results show that the early warning indicator can successfully warn the sharp decline of the index.In the 14 crashes that occurred during the period,we predict a total of 10 times and the recall rate reaches 71.43%.Based on the proposed early warning indicators,a simple timing strategy is constructed.We build a simple timing strategy based on the proposed early warning indicators,and compare it with the simple buy and hold strategy.The results show that the HS300 Index increases by 216.18% during the period,while the return of our strategy is 873.47%.Finally,the robustness test of each parameter of the early warning indicator is also carried out.