The Portfolio Analysis in Hong Kong Stocks

Research Article
Open access

The Portfolio Analysis in Hong Kong Stocks

Sijia Li 1 , Tai Peng 2 , Mingzhe Si 3*
  • 1 Beijing Normal University, Beijing, 100875, China    
  • 2 Jiangxi University of Finance and Economics, Nanchang, Jiangxi 330013, China    
  • 3 Beijing Technology and Business University, Beijing, 100048, China    
  • *corresponding author 1906020112@st.btbu.edu.cn
Published on 21 March 2023 | https://doi.org/10.54254/2754-1169/4/2022914
AEMPS Vol.4
ISSN (Print): 2754-1177
ISSN (Online): 2754-1169
ISBN (Print): 978-1-915371-17-1
ISBN (Online): 978-1-915371-18-8

Abstract

Maximizing returns is always people’s investment goal. Stocks have some hedging capabilities, and their prices also fluctuate widely, making them popular in-vestments for investors. As a result, Stock prices have fluctuated wildly, leading to uncertain investments and uncertain returns. To compute and analyze the maximum returns of stocks in Hong Kong stocks, this paper takes The Hang Seng index, an important indicator of Hong Kong stock market prices as the scene. We calculate the variance of these stocks using the Fama experiment. And We examined the normal distribution and i.i.d. of the data. To test whether the hypothesis of independence and the same distribution in the data is reasonable, and then con-duct an ACF test on the five selected stocks to observe their time-series stability. Then, this paper uses Markowitz's effective frontier decision-making process to simulate stock trading and use the Sharp ratio risk analysis to select mid-risk and high-yield portfolios. The results show that: The weight of the five stocks shows an approximate trend with their average return rate. The larger the average value is, the larger the investment proportion will be. stock investment with low-risk accounts for a relatively high proportion, while stock investment with high-risk accounts for a relatively small proportion. Among the selected several representative stocks, Techtronic Industries and Long for Group have more investment value, while the investment value of bank stocks is on the low side.

Keywords:

Sharpe ratio, efficient frontier, portfolio, normal distribution and i.i.d.test

Li,S.;Peng,T.;Si,M. (2023). The Portfolio Analysis in Hong Kong Stocks. Advances in Economics, Management and Political Sciences,4,418-432.
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References

[1]. Li, J.Q., Yang, Y.L.: Research on mainland investor behavior in Hong Kong stock Market is based on the local preference of Hong Kong Stock Connect southbound funds influencing fac-tor analysis. Price Theory and Practice (09),89-93(2020).

[2]. Li, Y.Q., Li, C.W.: Research on the linkage and Risk Spillover Effect of Shanghai and Hong Kong stock markets. Based on the comparative analysis before and after the implementation of Shanghai Hong Kong stock connect. Shanghai Finance (10),70-80(2017).

[3]. Wang, G.Z., Li, W.B. Zhu J.: A Quantitative Portfolio Strategy based on the AI Industry. Journal of Shenyang University (Social Sciences Edition) (01),44-51(2022).

[4]. Chen, X.N.: Stock portfolio risk management based on MV model and CAPM model. Chinese market (28),32-35(2020).

[5]. Wang, Q., Zhu, J.M., Zhang, X.Y.: Related Strategies on Stock Portfolio. Journal of Heihe College (07),52-53(2017).

[6]. Wang, Y.F.: Application of Markowitz Mean-Variance Theory in Energy Futures Portfolio Optimization. Computers and Modernization (07),11-15(2020).

[7]. Wen, Q., Chen, Q., Liu, L.Y.: Stock Portfolio Research Based on Improved Correlation coefficient Clustering Method. Accounting & Communications, (24),116-119+124+129(2014).

[8]. Li, S.L.: A Markowitz portfolio model of mean and variance changes is studied. Bohai Rim economic Outlook (02),185-186(2020).

[9]. Wang, Y.Z.: Comparison of the effectiveness of multiple securities portfolio strategies. Southwestern University of Finance and Economics (2016).

[10]. Fama, E. F.: Foundations of Finance. Truth and Wisdom Press, New York (1976).

Cite this article

Li,S.;Peng,T.;Si,M. (2023). The Portfolio Analysis in Hong Kong Stocks. Advances in Economics, Management and Political Sciences,4,418-432.

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 6th International Conference on Economic Management and Green Development (ICEMGD 2022), Part Ⅱ

ISBN：978-1-915371-17-1(Print) / 978-1-915371-18-8(Online)
Editor：Canh Thien Dang, Javier Cifuentes-Faura
Conference website: https://www.icemgd.org/
Conference date: 6 August 2022
Series: Advances in Economics, Management and Political Sciences
Volume number: Vol.4
ISSN：2754-1169(Print) / 2754-1177(Online)

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References

[1]. Li, J.Q., Yang, Y.L.: Research on mainland investor behavior in Hong Kong stock Market is based on the local preference of Hong Kong Stock Connect southbound funds influencing fac-tor analysis. Price Theory and Practice (09),89-93(2020).

[2]. Li, Y.Q., Li, C.W.: Research on the linkage and Risk Spillover Effect of Shanghai and Hong Kong stock markets. Based on the comparative analysis before and after the implementation of Shanghai Hong Kong stock connect. Shanghai Finance (10),70-80(2017).

[3]. Wang, G.Z., Li, W.B. Zhu J.: A Quantitative Portfolio Strategy based on the AI Industry. Journal of Shenyang University (Social Sciences Edition) (01),44-51(2022).

[4]. Chen, X.N.: Stock portfolio risk management based on MV model and CAPM model. Chinese market (28),32-35(2020).

[5]. Wang, Q., Zhu, J.M., Zhang, X.Y.: Related Strategies on Stock Portfolio. Journal of Heihe College (07),52-53(2017).

[6]. Wang, Y.F.: Application of Markowitz Mean-Variance Theory in Energy Futures Portfolio Optimization. Computers and Modernization (07),11-15(2020).

[7]. Wen, Q., Chen, Q., Liu, L.Y.: Stock Portfolio Research Based on Improved Correlation coefficient Clustering Method. Accounting & Communications, (24),116-119+124+129(2014).

[8]. Li, S.L.: A Markowitz portfolio model of mean and variance changes is studied. Bohai Rim economic Outlook (02),185-186(2020).

[9]. Wang, Y.Z.: Comparison of the effectiveness of multiple securities portfolio strategies. Southwestern University of Finance and Economics (2016).

[10]. Fama, E. F.: Foundations of Finance. Truth and Wisdom Press, New York (1976).

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