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1、2March2020EquityResearchAsiaPacificAPACQuantitative&SystematicStrategyTradingacrisisinAsia:stockpickingtosidestepslumps–historicalcrisisinsightsQuantitative
2、QuantStrategyFigure1:COVID-19onshoresocialmediasentimentResearchAnalystsWillStephens85221017079will.stephens
3、@credit-suisse.comElitaLai85221017089elita.lai@credit-suisse.comDaveYin85221016325dave.yin@credit-suisse.comSource:CreditSuisseEquityResearch,WeiboMarketsentimentaroundtheCOVID-19outbreakcontinuestoshift.ConcernsaroundwhatseemedaChina-centricepidemichavepivotedtopa
4、ndemicrisksasnewcoronaviruscasesarepickingupinmultiplecontinents.TheSARSexperiencesawasecondroundofre-acceleration,creatingaconcerningprecedent.Withthepathoftheoutbreakfacingreneweduncertainty,significanttailriskstothesituationremain.Priceactionandsocialmediatrends
5、suggestriskshavemovedfromChinatotheglobalmarkets.Crisisincontext:historicalcriseshaveseendifferentpressurepoints.Weleverageprice,sector,regionandfactordatatounderstandthecommonfeaturesacrossstocksthatoutperform/underperforminAsiacrises,goingbackto2000.Diseaseoutbre
6、akshavehistoricallyseenlargerandlongerdraw-downsrelativetootherexogenouscrises.Acrisisframework:welookattechniquesforidentifyingcrisesandintroduceourCrisisConsciousSwitchingStrategy(CCSS).Ourmodelswitchesbetweenthemarketportfolioandcrisis-optimisedportfoliosacrosst
7、heregionalmarkets(AxJ,Japan,ChinaAandAustralia).Werecommend:(1)usingHiddenMarkovModelsforidentifyingcrisisperiods,(2)alassoregressiontomodelthecommon‘features’acrossstocksthatoutperformduringcrisisperiodsand(3)aminimumvarianceweightingscheme.Webelievethisanalysisca
8、nbeusefulinhelpinginvestorsnavigatefuturecrisisperiodsintheregion.OuranalysissuggeststhatJapanandAustraliaarecurrentlyinrisk-offregimes.InvestorsconcernedaboutaprolongedCOVID-19impactcanconsiderlongpositionsinSeven&I(3382JP),Asahi(2502JP)inJP;NewcrestMining(NCMAU),
9、Spark(SPKAU)inAustralia.Regionally,crisis-insulatedstocksinclude:HDFC(HDFCBIN),PowerAssets(6HK),ChinaMerchantsBank(600036CH)andJiangsuHengruiMedi
