Proceedings of the 2022 International Conference on mathematical statistics and economic analysis (MSEA 2022)

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Application of a Maverick Stock Capturing Strategy in the Chinese Stock Market

Authors
Yifei Wang1, *, Hui Lin2, Shiyu Yao3, Jiayun Zou4
1Department of economics, University of Calgary, Alberta, Canada
2College of life science, Sichuan Agricultural University, Yaan, China
3College of economics and management, Hefei Normal University, Hefei, China
4College of humanities, Sichuan Agricultural University, Yaan, China
*Corresponding author. Email: yifeiiris.wang@gmail.com
Corresponding Author
Yifei Wang
Available Online 29 December 2022.
DOI
10.2991/978-94-6463-042-8_76How to use a DOI?
Keywords
Trading strategy; Maverick stock; Stock return; Stock market
Abstract

In this paper, we propose a maverick stock trading strategy and apply it to the Chinese stock market. We use a high-frequency trade data of Chinese stock market in 2019 and apply the trading strategy every day. Data comes from the CSMAR database. Our trading strategy shows an amazingly high return. We further find that the strategy behaves better when trade in all the markets together. When trading in different markets respectively, the return is still much higher than the market index’s return, where the highest return appears in the GEM market. This paper provides a new perspective of stock trading.

Copyright
© 2023 The Author(s)
Open Access
Open Access This chapter is licensed under the terms of the Creative Commons Attribution-NonCommercial 4.0 International License (http://creativecommons.org/licenses/by-nc/4.0/), which permits any noncommercial use, sharing, adaptation, distribution and reproduction in any medium or format, as long as you give appropriate credit to the original author(s) and the source, provide a link to the Creative Commons license and indicate if changes were made.

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Volume Title
Proceedings of the 2022 International Conference on mathematical statistics and economic analysis (MSEA 2022)
Series
Advances in Computer Science Research
Publication Date
29 December 2022
ISBN
10.2991/978-94-6463-042-8_76
ISSN
2352-538X
DOI
10.2991/978-94-6463-042-8_76How to use a DOI?
Copyright
© 2023 The Author(s)
Open Access
Open Access This chapter is licensed under the terms of the Creative Commons Attribution-NonCommercial 4.0 International License (http://creativecommons.org/licenses/by-nc/4.0/), which permits any noncommercial use, sharing, adaptation, distribution and reproduction in any medium or format, as long as you give appropriate credit to the original author(s) and the source, provide a link to the Creative Commons license and indicate if changes were made.

Cite this article

risenwbib
TY  - CONF
AU  - Yifei Wang
AU  - Hui Lin
AU  - Shiyu Yao
AU  - Jiayun Zou
PY  - 2022
DA  - 2022/12/29
TI  - Application of a Maverick Stock Capturing Strategy in the Chinese Stock Market
BT  - Proceedings of the 2022 International Conference on mathematical statistics and economic analysis (MSEA 2022)
PB  - Atlantis Press
SP  - 527
EP  - 534
SN  - 2352-538X
UR  - https://doi.org/10.2991/978-94-6463-042-8_76
DO  - 10.2991/978-94-6463-042-8_76
ID  - Wang2022
ER  -