Analyze the Effect of Improving Portfolio Performance by Integrating Science and Technology Innovation Board and Growth Enterprise Market

Yining Gao ()
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Yining Gao: Shanghai Maritime University, College of Arts and Sciences

A chapter in Proceedings of the 2022 2nd International Conference on Financial Management and Economic Transition (FMET 2022), 2023, pp 537-548 from Springer

Abstract: Abstract Science and Technology Innovation Board (STIB) and Growth Enterprise Market (GEM) are developed plates in recent years, which makes both sectors full of vitality and have great development prospects in the future. This paper aims to enrich the research contents of STIB and GEM on the return effect of portfolio, and promote the performance and development of GEM and STIB in the investment portfolio. Firstly, the data are made up of two GEM stocks, another two stocks, which are from STIB, and the construction index. The data, selected from March 11th, 2021 to May 30th, 2022, go through data processing and testing prepared for model. Appropriate ARIMA model is selected for data prediction, and then mean-variance model is used to select appropriate portfolio through maximum Sharpe ratio screening. After the addition of stocks from STIB and GEM, the increase of return expectation and the improvement of Sharpe ratio both reflect that the portfolio performs better than the construction index, indicating that the integration of STIB and GEM improves portfolio returns. To a greater extent, it shows that the proposal of STIB and GEM can promote the main board market and improve the performance of the main board market.

Keywords: Science and Technology Innovation Board; Growth Enterprise Market; ARIMA model; Mean-variance portfolio (search for similar items in EconPapers)
Date: 2023
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Persistent link: https://EconPapers.repec.org/RePEc:spr:advbcp:978-94-6463-054-1_58

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DOI: 10.2991/978-94-6463-054-1_58

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