Empirical analysis of MSCI China A-shares

Artikel

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.

Object Details

• Language: Englisch

References and Relationships

• Bibliographic citation: Journal: Journal of Risk and Financial Management ; ISSN: 1911-8074 ; Volume: 14 ; Year: 2021 ; Issue: 11 ; Pages: 1-25 ; Basel: MDPI

Classification and Topics

• Classification: Wirtschaft ; Empirical Studies of Trade ; Trade: Forecasting and Simulation ; Economic Impacts of Globalization: Finance
• Subject: MSCI China A-shares ; investor sentiment ; sector portfolio ; optimal portfolio

Contributors, Places and Time

• Event: Geistige Schöpfung
• (who): Li, Yan ; Li, Weiping
• Event: Veröffentlichung
• (who): MDPI
• (where): Basel
• (when): 2021

Further information

• DOI: doi:10.3390/jrfm14110514
• Handle: http://hdl.handle.net/10419/258617
• Last update: 10.03.2025, 11:41 AM CET