Please use this identifier to cite or link to this item: https://hdl.handle.net/10419/258617 
Year of Publication: 
2021
Citation: 
[Journal:] Journal of Risk and Financial Management [ISSN:] 1911-8074 [Volume:] 14 [Issue:] 11 [Article No.:] 514 [Publisher:] MDPI [Place:] Basel [Year:] 2021 [Pages:] 1-25
Publisher: 
MDPI, Basel
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.
Subjects: 
MSCI China A-shares
investor sentiment
sector portfolio
optimal portfolio
JEL: 
F14
F17
F65
Persistent Identifier of the first edition: 
Creative Commons License: 
cc-by Logo
Document Type: 
Article

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