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Anomalies in Chinese stock markets

At Robeco, we have a long history of investing in stocks from emerging markets companies. This includes investments in stocks of Chinese companies with a domestic listing (A-shares) through quota allotted to qualified foreign investors. Recently, the A-shares market has been liberalized and quota are no longer required for foreigners to invest in these shares. This has lead to the partial inclusion of these A-shares in the MSCI Emerging Markets Index in 2018 and spurred the interest to better understand the behavior of stock returns in this market, which is the second largest in the world after the US market.

For this internship project, we aim to extend the existing body of research on factor premiums and anomalies in domestic Chinese equity markets. We already have access to the CSMAR database, which is an excellent starting point to discover whether anomalies detected in other developed, emerging, and frontier markets also exist in the A-shares market. Several studies on A-shares (see literature list) have been published already, but many research questions remain. The goal of this research project is on the one hand to examine the robustness of results presented in existing studies, and on the other hand fill gaps in the literature with original research contributions. This research may have concrete implications for the EUR 20 billion assets that we have under management for our quantitative emerging markets investment strategies.

Are you interested?
Let us know your motivation and send it together with your top-3 favorite internship topics, your CV and list of grades to SQ@robeco.nl.
Previous projects

References

[1] Cheema, M., and Nartea, G., 2017, “Momentum returns, market states, and market dynamics: Is China different?”, International Review of Finance and Economics 50, pp. 85-97.

[2] Cheung, C., Hoguet, G., and Ng, S., 2015, “Value, size, momentum, dividend yield, and volatility in China’s A-share market”, Journal of Portfolio Management 41(5), pp. 57-70.

[3] Hsu, J., Viswanathan, V., Wang, M., and Wool, P., 2018, “Anomalies in Chinese A-shares”, Journal of Portfolio Management 44(7), pp. 108-123.

[4] Hu, G., Chen, C., Shao, Y., and Wang, J., 2019, “Fama–French in China: Size and Value Factors in Chinese Stock Returns”, International Review of Finance 19(1), pp. 3-44.

[5] Lin, Q., 2018, “Residual momentum and the cross-section of stock returns: Chinese evidence”, Finance Research Letters, forthcoming

[6] Liu, J., Stambaugh, R., and Yuan, Y., 2019, “Size and value in China”, Journal of Financial Economics (forthcoming): https://doi.org/10.1016/j.jfineco.2019.03.008

[7] Naughton, T., Truong, C., and Veeraraghavan, M., 2008, “Momentum and stock returns: Chinese evidence”, Pacific-Basin Finance Journal 16(4), pp. 476-492.

[8] Wang, F., and Xu, Y., 2004, “What determines Chinese stock returns”, Financial Analysts Journal 60(6), pp. 65-77.

[9] Xu, J., and Zhang, S., 2014, “The Fama-French three factors in the Chinese stock market”, China Accounting and Finance Review 16(2), pp. 210-227.