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Data - Chinese Industry Portfolios
Data - Chinese Industry Portfolios
Please see below industry portfolios constructed using the CSMAR database, to use this data, please cite, "A study of cross-industry return predictability in the Chinese Stock Market", M. Ellington, M. Stamatogiannis and Y. Zheng. University of Liverpool Working Paper, 2020.
Full details of data construction is found in the paper. Returns are value weighted and follow a similar methodology to the Kenneth French data library.
Monthly, Weekly and Daily Returns for 26 industry portfolios can be found at the following link
https://drive.google.com/drive/folders/16gHIzwkPN-pAwiD7krjypg7KNT8xuHZ9?usp=sharing
Month, Weekly and Daily Returns for 6 industry portfolios can be found at the following link
https://drive.google.com/drive/folders/1Jt-Oylbby2k6Ze28OPfa7rgUPWME6Ejd?usp=sharing
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