Artikel
Empirical analysis of MSCI China A-shares
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.
- Sprache
-
Englisch
- Erschienen in
-
Journal: Journal of Risk and Financial Management ; ISSN: 1911-8074 ; Volume: 14 ; Year: 2021 ; Issue: 11 ; Pages: 1-25 ; Basel: MDPI
- Klassifikation
-
Wirtschaft
Empirical Studies of Trade
Trade: Forecasting and Simulation
Economic Impacts of Globalization: Finance
- Thema
-
MSCI China A-shares
investor sentiment
sector portfolio
optimal portfolio
- Ereignis
-
Geistige Schöpfung
- (wer)
-
Li, Yan
Li, Weiping
- Ereignis
-
Veröffentlichung
- (wer)
-
MDPI
- (wo)
-
Basel
- (wann)
-
2021
- DOI
-
doi:10.3390/jrfm14110514
- Handle
- Letzte Aktualisierung
-
10.03.2025, 11:41 MEZ
Datenpartner
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. Bei Fragen zum Objekt wenden Sie sich bitte an den Datenpartner.
Objekttyp
- Artikel
Beteiligte
- Li, Yan
- Li, Weiping
- MDPI
Entstanden
- 2021
Ähnliche Objekte (12)
Empirical analysis of a management function's failures in construction project delay
Empirical analysis of natural gas markets
Empirical finance
Empirical finance
The empirical analysis of the impact of bank capital regulations on operating efficiency
A behavioral cultural-based development analysis of entrepreneurship in China
Empirical analysis of the global supply and demand of entrepreneurial finance: A random utility theory perspective
Portfolio constraints: An empirical analysis
Payoff shares in two-player contests
Clarifying the response of gold return to financial indicators: An empirical comparative analysis using ordinary least squares, robust and quantile regressions
Does foreign direct investment improve inclusive green growth? Empirical evidence from China
Foreign direct investment, trade, and economic growth: An empirical analysis of Bangladesh
Empirical analysis of a management function's failures in construction project delay
Empirical analysis of natural gas markets
Empirical finance
Empirical finance
The empirical analysis of the impact of bank capital regulations on operating efficiency
A behavioral cultural-based development analysis of entrepreneurship in China
Empirical analysis of the global supply and demand of entrepreneurial finance: A random utility theory perspective
Portfolio constraints: An empirical analysis
Payoff shares in two-player contests
Clarifying the response of gold return to financial indicators: An empirical comparative analysis using ordinary least squares, robust and quantile regressions
Does foreign direct investment improve inclusive green growth? Empirical evidence from China
Foreign direct investment, trade, and economic growth: An empirical analysis of Bangladesh
Empirical analysis of a management function's failures in construction project delay
Empirical analysis of natural gas markets
Empirical finance
Empirical finance
The empirical analysis of the impact of bank capital regulations on operating efficiency
A behavioral cultural-based development analysis of entrepreneurship in China
Empirical analysis of the global supply and demand of entrepreneurial finance: A random utility theory perspective
Portfolio constraints: An empirical analysis
Payoff shares in two-player contests
Clarifying the response of gold return to financial indicators: An empirical comparative analysis using ordinary least squares, robust and quantile regressions
Does foreign direct investment improve inclusive green growth? Empirical evidence from China