Anomalies in the China A-share Market

51 Pages Posted: 23 Mar 2021 Last revised: 28 Jun 2021

See all articles by Maarten Jansen

Maarten Jansen

Robeco Quantitative Investments

Laurens Swinkels

Erasmus University Rotterdam (EUR); Robeco Asset Management

Weili Zhou

Robeco Asset Management

Date Written: June 28, 2021

Abstract

This paper sheds light on the similarities and differences with respect to the presence of anomalies in the China A-share market and other markets. To this end, we examine the existence of 32 anomalies in the China A-share market over the period 2000-2019. We find that value, risk, and trading anomalies carry over to China A-shares. Evidence for anomalies in the size, quality, and past return categories is substantially weaker, with the exception of a strong residual momentum and reversal effect. We document that most anomalies cannot be explained by industry composition, and are present among large, mid, and small capitalization stocks. We are the first to examine the existence of residual reversal, return seasonalities, and connected firm momentum for the China A-share market. We find strong out-of-sample evidence for the former two, but not the latter. Specific characteristics of the China A-share market, such as short-sale restrictions, the prevalence of state-owned enterprises, and the effect of stock market reforms, are examined in more detail. These features do not seem to be important drivers of our empirical findings.

Keywords: Alpha, Anomalies, Asset management, China, Investing, Stock market

JEL Classification: G10, G11, G12, G15, G23, G40

Suggested Citation

Jansen, Maarten and Swinkels, Laurens and Zhou, Weili, Anomalies in the China A-share Market (June 28, 2021). Available at SSRN: https://ssrn.com/abstract=3810114 or http://dx.doi.org/10.2139/ssrn.3810114

Maarten Jansen

Robeco Quantitative Investments ( email )

Weena 850
Rotterdam, 3011 AG
Netherlands

Laurens Swinkels (Contact Author)

Erasmus University Rotterdam (EUR) ( email )

Burgemeester Oudlaan 50
3000 DR Rotterdam, Zuid-Holland 3062PA
Netherlands

Robeco Asset Management ( email )

Rotterdam, 3000
Netherlands
+31 10 224 2470 (Phone)
+31 10 224 2110 (Fax)

Weili Zhou

Robeco Asset Management ( email )

Rotterdam, 3011 AG
Netherlands
+31-10-2242222 (Phone)

HOME PAGE: http://www.robeco.com/quant

Do you have a job opening that you would like to promote on SSRN?

Paper statistics

Downloads
744
Abstract Views
2,389
Rank
64,550
PlumX Metrics