The Applicability of Time-varying Sharpe Ratio to Chinese Stock Market -- Take CSI 300 Index as an Example

DOI

10.2991/icmesd-18.2018.154How to use a DOI?

Keywords

Time-varying Sharpe ratio, CSI 300 index, The investment strategy.

Abstract

According to China's national conditions, this paper cites the factors related to the volatility of Shanghai and Shenzhen stock markets as explanatory variables and usestime-varying Sharpe ratio proposed by Robert Whitelaw to analyze the trend of CSI 300 index. The results show that the modifiedtime-varying Sharpe ratiocan predict the trendwell, and the leading indication of the index’s bottom reversal is more obvious. At the same time, the investment strategy constructed by usingthe ratio also achieves the desired profit. These results demonstrate the important role of time-varying Sharpe ratio in controlling risks and improving investment performance.

Copyright

© 2018, the Authors. Published by Atlantis Press.

Open Access

This is an open access article distributed under the CC BY-NC license (http://creativecommons.org/licenses/by-nc/4.0/).

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TY  - CONF
AU  - Yan-Cun Chen
AU  - Sheng-Dao Gan
PY  - 2018/05
DA  - 2018/05
TI  - The Applicability of Time-varying Sharpe Ratio to Chinese Stock Market -- Take CSI 300 Index as an Example
BT  - Proceedings of the 4th Annual International Conference on Management, Economics and Social Development (ICMESD 2018)
PB  - Atlantis Press
SP  - 895
EP  - 901
SN  - 2352-5428
UR  - https://doi.org/10.2991/icmesd-18.2018.154
DO  - 10.2991/icmesd-18.2018.154
ID  - Chen2018/05
ER  -