中国-量化策略-散户投资者是否会推动中国股票市场的发展

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1、ABGlobalResearch13November2018EquitiesQuantitativeMonographsQuantitativeChinaDoretailinvestorsmoveChina'sequitymarket?RetailsentimentandsignsofherdingreflectedinmassmediawebsiteinChinaWithahighparticipationrate,retailinvestorshavealwaysbeenimportantplayersinChina'sequitymarket.Inthi

2、sstudy,wetrytogaugeretailinvestors'sentimentandherdingusingdatafromamassmediawebsite.Wefoundthepercentagechangeinthenumberofwebsitesubscribersthatfollowastockcouldserveasagoodindicator.Alargeincreaseinthenumberoffollowersforastockwouldimplypotentialretailherdinginthatstock.AreChina'

3、sretailinvestorsmarketmoversortrendfollowers?Ourstudyshowsthatstockswithhighlevels(orlargeincreases)ofinstitutionalholdingstendtoattractmoreretailattention.Sharepricesconsistentlyincreaseduringthe3-monthperiodpriortoretailherding;whilethemomentumdecaysrapidlyfollowingtheherding.Onav

4、erage,theincreaseonlylastsabout3days.Overthemediumterm(e.g.oneweekoronemonth),weobserveareversalinstockperformancepostretailherding.Thissuggeststhatretailinvestorsnormallybuyatthelaststageofarally;andretailherdingcouldserveasanexitsignal.Whatdoesthismeanforourinvestmentstrategy?Ourp

5、reviousresearch(seeourMayandJulyreports)showsthatlevelofinstitutionalownershipisaleadingfactorforstockperformance.Wecannowfurtherimprovethestockselectionmodelbyavoidingstockswithhighretailherding.Theimprovedmodelhasenhancedreturnsandlowervolatility.Foraweeklyrebalancedstrategywith50

6、stocks,itachievesanannualisedexcessreturnof18%overthemarketintheback-testperiod.Figure1:StrategyperformancerelativetoallChinaA-sharesShanleWu,PhDAnalystshanle.wu@ubs.com+852-29717513CathyFang,PhDAssociatecathy.fang@ubssecurities.com+86-213-8668891PaulWinterAnalystpaul-j.winter@ubs.

7、com+61-2-93242080OliverAntrobus,CFAAnalystoliver.antrobus@ubs.com+61-3-92426467PieterStoltzAnalystpieter.stoltz@ubs.com+61-2-93243779LukeBrown,CFAAnalystluke.brown@ubs.com+61-2-93243620DavidJessopAnalystdavid.jessop@ubs.com+44-20-75679882110%Top100Top50Top10100%90%80%70%60%50%40%30%

8、20%10%2014122015062