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...

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Autores principales:	Yan Li, Weiping Li
Formato:	article
Lenguaje:	EN
Publicado:	MDPI AG 2021
Materias:	MSCI China A-shares investor sentiment sector portfolio optimal portfolio Risk in industry. Risk management HD61 Finance HG1-9999
Acceso en línea:	https://doaj.org/article/3ff218d1aab342e8a1f1bcc2c85a6676
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spelling	oai:doaj.org-article:3ff218d1aab342e8a1f1bcc2c85a66762021-11-25T18:08:29ZEmpirical Analysis of MSCI China A-Shares10.3390/jrfm141105141911-80741911-8066https://doaj.org/article/3ff218d1aab342e8a1f1bcc2c85a66762021-10-01T00:00:00Zhttps://www.mdpi.com/1911-8074/14/11/514https://doaj.org/toc/1911-8066https://doaj.org/toc/1911-8074In 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.Yan LiWeiping LiMDPI AGarticleMSCI China A-sharesinvestor sentimentsector portfoliooptimal portfolioRisk in industry. Risk managementHD61FinanceHG1-9999ENJournal of Risk and Financial Management, Vol 14, Iss 514, p 514 (2021)
institution	DOAJ
collection	DOAJ
language	EN
topic	MSCI China A-shares investor sentiment sector portfolio optimal portfolio Risk in industry. Risk management HD61 Finance HG1-9999
spellingShingle	MSCI China A-shares investor sentiment sector portfolio optimal portfolio Risk in industry. Risk management HD61 Finance HG1-9999 Yan Li Weiping Li Empirical Analysis of MSCI China A-Shares
description	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.
format	article
author	Yan Li Weiping Li
author_facet	Yan Li Weiping Li
author_sort	Yan Li
title	Empirical Analysis of MSCI China A-Shares
title_short	Empirical Analysis of MSCI China A-Shares
title_full	Empirical Analysis of MSCI China A-Shares
title_fullStr	Empirical Analysis of MSCI China A-Shares
title_full_unstemmed	Empirical Analysis of MSCI China A-Shares
title_sort	empirical analysis of msci china a-shares
publisher	MDPI AG
publishDate	2021
url	https://doaj.org/article/3ff218d1aab342e8a1f1bcc2c85a6676
work_keys_str_mv	AT yanli empiricalanalysisofmscichinaashares AT weipingli empiricalanalysisofmscichinaashares
_version_	1718411554167193600

Empirical Analysis of MSCI China A-Shares

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