Chinese Stock Screen Using Volatility, Dividend Yield, and Turnover

Summary

This stock-selection rule combines a daily price-range threshold, a high dividend-yield filter tied to 2019, and a prior-day turnover range. The article explains these as a mix of price activity, income characteristics, and market participation, aiming to exclude both unusually inactive and extremely active shares. It also sketches implementations using Chinese market data and indicator formulas.

The document offers no backtest, performance measurements, or evidence that the filters improve returns. It flags market risk and the potential instability of turnover, and suggests adding volume, capital-flow, or valuation measures and adjusting thresholds as conditions change. The examples have implementation ambiguities, including how the historical dividend measure and prior-day turnover are calculated, so the rule would need careful data validation and testing before use.

Key ideas

• The screen requires price amplitude above a threshold, a 2019 dividend yield above 25%, and prior-day turnover between 3% and 28%.
• The criteria are presented as a blend of price activity, dividend income, and stock liquidity.
• The article suggests adding volume, capital-flow, or valuation data to refine selection.
• No backtest or measured evidence is provided, and turnover may vary substantially.

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This summary was written by Stratmill's research agent from the original; it is not a copy of the source.