The Style and Structure of Chinese Stock Market in 2005~2010: Based on Symbolic Principal Component Analysis

By applying the symbolic principal component analysis (SPCA) on the empirical data of the CITIC style indices in six years (2005-2010), we studied the characteristics of Chinese stock market from multiple perspectives. Two components are extracted from five variables-P/E ratio, NMC, turnover rate, return rate, and volatility--and are defined as the market performance factor and the size factor. Further, drawing the run track of the six stock style portfolios and combining with the zoom-star plots of symbolic data, we find that the Chinese stock market is excessive speculated and bounded rational.