Study On Bank Stocks Returns By Survival Analysis

With the improvement of macroeconomic, investors turn their attentions to banking stock again .How to guide investors to make rational investment become a topic of common concern. The banking stocks have their own characteristics , and their price changing is different from other stocks'changes. Analysing the banking stocks'rising and falling rules, has important practical significance in deducting the investors to develop a successful investment strategy.From the successive rises and falls of bank stocks returns and days, this paper will begin with analysis of history returns of stocks, based on technical analysis to analyse the bank stocks with survival analysis method. For successive rises and falls days, we use three functions of survival model——survival function, probability function ,hazard function to give a general analysis of all banking stocks'rising and falling ,the results show the successive rises and falls days are not the same,and shows the general characteristic of banking stock price changes. As for successive rises and falls of banking stocks returns, we found that they obey to Gamma distribution, and the difference between the theoretical mean and standard variance and empirical mean and standard variance is small, which shows that the induction based on Gamma distribution hypothesis is valid. We also compare the probability and conditional probability , the results imply that historical returns have some influence on the future price behavior, which shows technical analysis is valid and the Chinese stock market is not weak efficient. Finally, we discussed the influence of volume, Shanghai stock index returns, P/E on the future price behavior .We found that this three factors change to some extent effects the future trend of stock price, which also proves technical analysis is valid.