Research case study
Chinese Stock Market Analysis
Quantitative trend analysis of A-share market.
Focus
Python · Finance
Methods
Factor Models · Regression
01 / Context
The research question
What structural trends drive long-term returns in China’s A-share market, and how do they differ from US equities?
02 / Method
Research design
Analyzed 20+ years of A-share data using rolling regressions, sector decomposition, and momentum/value factor analysis.
03 / Evaluation
How it was tested
- 20+ years of A-share data (2000–2023), 36-month rolling windows
- Metrics: rolling alpha, factor premiums, sector rotation persistence
04 / Findings
What the work showed
Mapped recurring sector-rotation patterns and differences between the observed A-share and US value-factor profiles.
05 / Next iteration
Where I would take it next
Add macro regime detection (e.g., credit cycle indicators) and test factor timing strategies.