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The diversification benefits and policy risks of accessing China’s stock market
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Shan, Chenyu, Tang, Dragon Yongjun, Wang, Sarah Qian and Zhang, Chang (2022) The diversification benefits and policy risks of accessing China’s stock market. Journal of Empirical Finance, 66 . pp. 155-175. doi:10.1016/j.jempfin.2022.01.001 ISSN 0927-5398.
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WRAP-Diversification-benefits-policy-risks-accessing-Chinas-stock-market-2022.pdf - Accepted Version - Requires a PDF viewer. Available under License Creative Commons Attribution Non-commercial No Derivatives 4.0. Download (1016Kb) | Preview |
Official URL: https://doi.org/10.1016/j.jempfin.2022.01.001
Abstract
China’s stock market (the “A share market”) has a lower correlation with the global market and is less affected by international financial contagions than any other major economy. The inclusion of mainland China stocks into an international portfolio increases its Sharpe ratio. However, we find that Chinese stocks providing the most diversification benefits also carry the most policy risk for international investors. Holding Chinese stocks listed in Hong Kong does not reap the same diversification benefits. While global market integration and the increase in foreign ownership can diminish diversification benefits, mainland China stocks still provide valuable diversification opportunities for international investors up till the most recent time in late 2010s.
Item Type: | Journal Article | |||||||||
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Subjects: | H Social Sciences > HG Finance | |||||||||
Divisions: | Faculty of Social Sciences > Warwick Business School > Finance Group Faculty of Social Sciences > Warwick Business School |
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SWORD Depositor: | Library Publications Router | |||||||||
Library of Congress Subject Headings (LCSH): | Investments, Foreign, International finance, Stock exchanges -- China, Stocks -- China, Securities -- China, Financial risk management -- China | |||||||||
Journal or Publication Title: | Journal of Empirical Finance | |||||||||
Publisher: | Elsevier | |||||||||
ISSN: | 0927-5398 | |||||||||
Official Date: | March 2022 | |||||||||
Dates: |
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Volume: | 66 | |||||||||
Page Range: | pp. 155-175 | |||||||||
DOI: | 10.1016/j.jempfin.2022.01.001 | |||||||||
Status: | Peer Reviewed | |||||||||
Publication Status: | Published | |||||||||
Access rights to Published version: | Restricted or Subscription Access | |||||||||
Date of first compliant deposit: | 17 March 2022 | |||||||||
Date of first compliant Open Access: | 24 July 2023 | |||||||||
RIOXX Funder/Project Grant: |
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