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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, supported by the in-sample and out-of-sample results. From the perspective of sector investment, we show that the sector portfolio of "information transfer, software and information technology services" performs the best among the 10 sector portfolios. In addition, seven approaches of the optimal portfolio in ten sectors are examined, and the results suggest that the classic Markowitz portfolio approach is recommended. Our empirical analysis is helpful for domestic and foreign investors seeking to form investment strategies for MSCI China A-shares. [ABSTRACT FROM AUTHOR]

This paper aims to explore the dynamic relationships between the crude oil price (shocks) and investor sentiment. Specifically, this paper utilizes web crawler to construct Chinese investor sentiment index. The structural vector autoregression (SVAR) model is then used to decompose the crude oil price shocks into three types of oil price shocks. Finally, the wavelet coherence analysis (WTC) is employed to study the dynamic correlation between crude oil price (shocks) and investor sentiment in the time and frequency domain, and their asymmetric dynamic correlation under different trends of crude oil price. Using data from February 2013 to June 2021, our empirical results suggest the heterogeneous dynamic correlations and lead-lag relationships exist between crude oil price (shocks) and investor sentiment over different time and frequency domains. In addition, there are asymmetric dynamic correlations and lead–lag relationships between crude oil price (shocks) and investor sentiment under different trends of crude oil price. [ABSTRACT FROM AUTHOR]