Introduction and Summary
Over the past several decades, the Chinese economy and market have both undergone dramatic changes. With the recent A-Shares index inclusions, the Chinese equity market is increasingly accessible and important for foreign investors to investigate. This paper presents one of PanAgora’s recent Chinese A-shares research findings, using the latest machine-learning (ML) technique. We find that:
- Despite its large size, the Chinese equity market is still quite inefficient and exhibits some interesting characteristics.
- Investors can get large amounts of data on Chinese investors if they know where to look. Having an understanding of local culture, language, and markets helps.
- By using ML techniques, we can gain insight into retail investment decisions.
- Delivering machine-learned alpha requires not only machine-learning expertise, but also domain knowledge and the right data.