Data · dataset · 2025
Data: Anomalies in the China A-share market
Listed in IISH Dataverse
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.
Description
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.
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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.
This data set contains the monthly return data of the 32 anomalies underlying summary Table 4.
Links
Where it is published
- Dataverse dataset page dataverse.nl/dataset.xhtml?persistentId=doi%3A10.34894%2FONJQ70 ↗
landing page · from datasets iisg amsterdam
- DOI doi.org/10.34894/onjq70 ↗
DOI / persistent id · from datasets iisg amsterdam
Catalogue records · 1
- Dataverse API dataverse.nl/api/datasets/:persistentId/?persistentId=doi%3A10.34894%2FONJQ… ↗
metadata API · from datasets iisg amsterdam
Topics
- Stated by source
- Other
- From keywords
- Economics & Finance · Financial economics · Infrastructure engineering and asset management
- Inferred from text
- Tabular 65%
Provenance · 1 source records, 11 field assertions
| Source | Key | Last seen | Raw |
|---|---|---|---|
| IISH Dataverse | doi:10.34894/ONJQ70 | 12 d ago | JSON v1 |
| Field | Assertion | Extractor | Evidence |
|---|---|---|---|
| concepts[field].anzsrc:field:380107 | mapping · datasets iisg amsterdam | vocabulary-mapper@1.0.0 | keywords['Financial Economics'] |
| concepts[field].anzsrc:field:400508 | mapping · datasets iisg amsterdam | vocabulary-mapper@1.0.0 | keywords['Asset Management'] |
| concepts[field].dataverse_subject:other | source · datasets iisg amsterdam | connector:datasets_iisg_amsterdam@1.0.0 | /subjects |
| concepts[field].local:field:economics-finance | mapping · datasets iisg amsterdam | connector:datasets_iisg_amsterdam@1.0.0 | /subjects |
| concepts[modality].local:modality:tabular | enrichment · datasets iisg amsterdam | keyword-concept-rules@1.0.0 | title+description (65%) |
| created_date | source · datasets iisg amsterdam | connector:datasets_iisg_amsterdam@1.0.0 | |
| description | source · datasets iisg amsterdam | connector:datasets_iisg_amsterdam@1.0.0 | /description |
| publication_date | source · datasets iisg amsterdam | connector:datasets_iisg_amsterdam@1.0.0 | |
| title | source · datasets iisg amsterdam | connector:datasets_iisg_amsterdam@1.0.0 | /name |
| updated_date | source · datasets iisg amsterdam | connector:datasets_iisg_amsterdam@1.0.0 | |
| version_label | source · datasets iisg amsterdam | connector:datasets_iisg_amsterdam@1.0.0 |