Data: Anomalies in the China A-share market

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. 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. 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. <br> This data set contains the monthly return data of the 32 anomalies underlying summary Table 4. <br> <br>本研究旨在厘清中国A股市场与其他市场在市场异象（anomaly）存在性方面的异同。为此，我们针对2000年至2019年的中国A股市场，检验了32类市场异象的存在性。研究发现，价值类、风险类与交易类市场异象同样适用于中国A股市场。而规模类、质量类以及过往收益类市场异象的实证证据则显著偏弱，仅存在显著的残差动量与反转效应。我们还证实，多数市场异象无法通过行业构成加以解释，且在大、中、小市值股票中均普遍存在。本研究首次针对中国A股市场检验了残差反转、收益季节性以及关联公司动量效应的存在性。研究证实前两类异象存在显著的样本外实证证据，而关联公司动量效应则未发现此类证据。我们还进一步详细探讨了中国A股市场的特定特征，包括卖空限制、国有企业的普遍存在以及股市改革的影响。上述市场特征似乎并非本研究实证结果的核心驱动因素。 本数据集包含汇总表4所涉及的32类市场异象的月度收益数据。