The diversification benefits and policy risks of accessing China’s stock market
研究发现中国A股与全球市场相关性低，能提升国际投资组合的夏普比率，但提供最多多元化收益的股票也带来最大政策风险；港股则无此多元化收益。
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.