Li, Yan; Li, Weiping - In: Journal of risk and financial management : JRFM 14 (2021) 11, pp. 1-25
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,...
