Empirical Analysis of MSCI China A-Shares

Yan Li and Weiping Li
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Yan Li: School of Economics and Management, Southwest Jiaotong University, Chengdu 610031, China
Weiping Li: Institute of Data Science and Behavior Science, Civial Aviation Flight Universit of China, Guanghan 618307, China

JRFM, 2021, vol. 14, issue 11, 1-25

Abstract: In this paper, we introduce the MSCI China A-shares index (MCASI) and analyze MCASI’s properties. From the perspective of index investment, we found that MCASI’s investor sentiments, both overnight sentiment and BW sentiment, provide significant predictability for future MCASI returns, supported by the in-sample and out-of-sample results. From the perspective of sector investment, we show that the sector portfolio of “information transfer, software and information technology services” performs the best among the 10 sector portfolios. In addition, seven approaches of the optimal portfolio in ten sectors are examined, and the results suggest that the classic Markowitz portfolio approach is recommended. Our empirical analysis is helpful for domestic and foreign investors seeking to form investment strategies for MSCI China A-shares.

Keywords: MSCI China A-shares; investor sentiment; sector portfolio; optimal portfolio (search for similar items in EconPapers)
JEL-codes: C E F2 F3 G (search for similar items in EconPapers)
Date: 2021
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (1)

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