Research On Investment Strategy Of China 's Stock Market Under Risk

The most important decisions for an investor facing with security investments are security selection, probable allocation and accurate timing. Active portfolio management can avoid non-systematic risk by fully spreading the allocation of security assets. The active strategy seems delicate and credible, but when subject to adverse systematic risk, is it still effective? If there were any practicable investment strategies can deal with risk events? Along with the continuing development and improvement of capital market, stock index futures and margin deals are allowed in China’s A stock which enriched the investment tools, but how much can these tools be used to avoid risks when risk events happened?Capital market’s reaction to different risk events provides a valuable clue to study the effective portfolio selection strategy under risk events.This article separate risk events into three types according to their causes and they are nature disaster risk event, economic risk event and political risk event, and use Wenchuan Earthquake, Sub-prime Crises and the Eighteen General election as the specific objects for researching, and use board index of different industries the tool and basement for constructing portfolios.After empirical analysis, it can come to the conclusion:(1) The negative influence of risk event is obvious. When separate risk event into three periods they are before risk event, under risk event and after, we found that the returns of risk assets are obviously lower under risk event when compared with previous period, for WenChuan Earthquake, the decreasing trend is even more clearly during the latter period, and for Sub-prime Crises and Eighteen General Election, the returns seems more stable during the latter period due to government’s intervene.(2) When considering the returns and risk of risky assets portfolios, their returns are lower than risk-less assets. Given the conditions that short sale is allowed, the portfolios of risky assets can achieve the target return but its risk increased remarkably after the risk event happened.(3) Different industries board have different sensitiveness to the same macroeconomic factor, so the board indexes show different characteristics when the risk event happened. But we found that the Fundamental board and Energy board have the function of supporting the risk assets portfolio. On the contrary, the financial board such as Bank and Equity board are very flexible that they can have a very high index before risky events happened but will decrease remarkably once subject to risky events.