Comparison of Different Stock Sectors Based on Momentum and Mean-Reversion Strategies

Chuyi Hu ()
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Chuyi Hu: Beijing HaiDian Kaiwen Academy

A chapter in Proceedings of the 3rd International Conference on Economic Development and Business Culture (ICEDBC 2023), 2024, pp 698-708 from Springer

Abstract: Abstract People are always interested in better predicting the future stock price to both earn interest and analysis the future economy. To reach this target, people have made many strategies to predict future trends. However, in the stock market, different industrial sectors will have different characteristics and those characteristics determined the performances of different trading strategies. In this paper, the author analyzes some characteristics of different US stock industrial sectors by analyzing the performances of the momentum strategy and mean-revision strategy. After simulating the performance of using the two strategies by using the past 13 years’ real stock price of different stock sectors, the linear regression analysis, factors analysis, and returns comparisons were taken. The result shows basic materials, utilities, and real estate sectors have relatively stable values and stronger tendencies. Their stock price could show more information about their companies. On the other hand, the stock sectors like the technology sector’s stock prices don’t tell a lot of information. Those stock sectors asked for additional information to make a nice investing strategy.

Keywords: Stock Market; Factors Analysis; Return Rate; Price Cycle (search for similar items in EconPapers)
Date: 2024
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Persistent link: https://EconPapers.repec.org/RePEc:spr:advbcp:978-94-6463-246-0_84

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DOI: 10.2991/978-94-6463-246-0_84

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