An analysis of the applicability of Markowitz Model in China

Research Article
Open access

An analysis of the applicability of Markowitz Model in China

Zhen Yang 1*
  • 1 Xi’an Jiaotong-Liverpool University    
  • *corresponding author 1499212862@qq.com
Published on 13 September 2023 | https://doi.org/10.54254/2754-1169/24/20230440
AEMPS Vol.24
ISSN (Print): 2754-1177
ISSN (Online): 2754-1169
ISBN (Print): 978-1-915371-91-1
ISBN (Online): 978-1-915371-92-8

Abstract

This research project aims to analyze whether Markowitz Model fits with the Chinese market and whether it can be applied to the Chinese market. The logical chain of this paper is to verify the rationality and stability of the stock selection strategy in the Chinese market by comparing it with the market benchmark and related indexes, and finally verify whether the Markowitz Model applies to the Chinese market with the conclusion of whether the stock selection strategy is reasonable and stable. I selected 20 representative stocks among the CSI 300 stocks and used Markowitz Model to conduct linear regression. Then I used the stock selection strategy to update the stock selection to maximize benefits regularly and compared it with the CSI 300 index to verify the similarity and correlation between it and CSI 300. Finally, the conclusion is that Markowitz's Model fits the Chinese market.

Keywords:

Markowitz Model, linear regression, comparison with the market

Yang,Z. (2023). An analysis of the applicability of Markowitz Model in China. Advances in Economics, Management and Political Sciences,24,219-224.
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References

[1]. Georgalos, K., Paya, I. and Peel, D.A. (2021)’On the contribution of the Markowitz model of utility to explain risky choice in experimental research’, Journal of Economic Behavior and Organization, 182, pp. 527–543.

[2]. Alexandru Cristian Dobre (2020) ‘The use of a Simplified Markowitz Model in Choosing a Profitable Portfolio’, Ovidius University Annuals: Economic Sciences Series, XX(2), pp.897-902.

[3]. Petropoulos, T., Liapis, K. and Thalassinos, E. (2023)’Optimal Structure of Real Estate Portfolio Using EVA: A Stochastic Markowitz Model Using Data from Greek Real Estate Market’, Risks, 11(2), p. 43.

[4]. Lee, H. S. et al (2016) ‘Markowitz Portfolio Theory and Capital Asset Pricing Model for Kuala Lumpur Stock Exchange: A Case Revisited’, International Journal of Economics and Financial Issues, 6(3), pp. 59-65.

[5]. Zavera Ioana Coralia (2017) ‘Application of Markowitz Model on Romanian Stock Market’, Holistica, 8(1), pp. 97–103.

[6]. Moeini Najafabadi, Z., Bijari, M. and Khashei, M. (2020) ‘Making investment decisions in stock markets using a forecasting-Markowitz based decision-making approaches’, Journal of Modelling in Management, 15(2), pp. 647–659.

[7]. Cai Fei and Hu Da-Wei (2010) ‘Improvement Markowitz investment profolio model based on genetic algorithm’, 2010 2nd International Conference on Future Computer and Communication, Future Computer and Communication (ICFCC), 2010 2nd International Conference on, 1.

[8]. Louivion, S. and Sikorski, E. (2019)'A Three-Pronged Sustainability-Oriented Markowitz Model : Disruption in the fund selection process?’ Available at: https://search-ebscohost-com.ez.xjtlu.edu.cn/login.aspx?direct=true&db=edsndl&AN=edsndl.264122&site=eds-live&scope=site (Accessed: 19 March 2023).

Cite this article

Yang,Z. (2023). An analysis of the applicability of Markowitz Model in China. Advances in Economics, Management and Political Sciences,24,219-224.

Data availability

The datasets used and/or analyzed during the current study will be available from the authors upon reasonable request.

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About volume

Volume title: Proceedings of the 2023 International Conference on Management Research and Economic Development

ISBN：978-1-915371-91-1(Print) / 978-1-915371-92-8(Online)
Editor：Canh Thien Dang, Javier Cifuentes-Faura
Conference website: https://2023.icmred.org/
Conference date: 28 April 2023
Series: Advances in Economics, Management and Political Sciences
Volume number: Vol.24
ISSN：2754-1169(Print) / 2754-1177(Online)

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References

[1]. Georgalos, K., Paya, I. and Peel, D.A. (2021)’On the contribution of the Markowitz model of utility to explain risky choice in experimental research’, Journal of Economic Behavior and Organization, 182, pp. 527–543.

[2]. Alexandru Cristian Dobre (2020) ‘The use of a Simplified Markowitz Model in Choosing a Profitable Portfolio’, Ovidius University Annuals: Economic Sciences Series, XX(2), pp.897-902.

[3]. Petropoulos, T., Liapis, K. and Thalassinos, E. (2023)’Optimal Structure of Real Estate Portfolio Using EVA: A Stochastic Markowitz Model Using Data from Greek Real Estate Market’, Risks, 11(2), p. 43.

[4]. Lee, H. S. et al (2016) ‘Markowitz Portfolio Theory and Capital Asset Pricing Model for Kuala Lumpur Stock Exchange: A Case Revisited’, International Journal of Economics and Financial Issues, 6(3), pp. 59-65.

[5]. Zavera Ioana Coralia (2017) ‘Application of Markowitz Model on Romanian Stock Market’, Holistica, 8(1), pp. 97–103.

[6]. Moeini Najafabadi, Z., Bijari, M. and Khashei, M. (2020) ‘Making investment decisions in stock markets using a forecasting-Markowitz based decision-making approaches’, Journal of Modelling in Management, 15(2), pp. 647–659.

[7]. Cai Fei and Hu Da-Wei (2010) ‘Improvement Markowitz investment profolio model based on genetic algorithm’, 2010 2nd International Conference on Future Computer and Communication, Future Computer and Communication (ICFCC), 2010 2nd International Conference on, 1.

[8]. Louivion, S. and Sikorski, E. (2019)'A Three-Pronged Sustainability-Oriented Markowitz Model : Disruption in the fund selection process?’ Available at: https://search-ebscohost-com.ez.xjtlu.edu.cn/login.aspx?direct=true&db=edsndl&AN=edsndl.264122&site=eds-live&scope=site (Accessed: 19 March 2023).

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