RNTI

MODULAD
The style characteristic of China's stock market: an application to PCA for interval symbolic data
In HDSDA 2013, vol. RNTI-E-25, pp.40-57
Résumé
By applying the symbolic principal component analysis (SPCA) on the empirical data of the CITIC style indices in six years (2005-2010), we stud- ied the characteristics of Chinese stock market from multiple perspectives. Two components are extracted from five variables–P/E ratio, NMC, turnover rate, return rate, and volatility–and are defined as the market performance factor and the size factor. Further, drawing the run track of the six stock style portfolios and combining with the zoom-star plots of symbolic data, we find that the Chinese stock market is excessive speculated and bounded rational.