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 perspective of investment, found that investor sentiments, both overnight sentiment BW sentiment, provide significant predictability for future MCASI returns, supported by in-sample out-of-sample results. sector show portfolio “information transfer, software information technology services” performs best among 10 portfolios. addition, seven approaches optimal in ten sectors are examined, results suggest classic Markowitz approach is recommended. Our empirical analysis helpful domestic foreign investors seeking to form investment strategies A-shares.