Critical Finance Review > Vol 10 > Issue 2

Chinese Capital Market: An Empirical Overview

Grace Xing Hu, PBC School of Finance, Tsinghua University, China, , Jun Pan, Shanghai Advanced Institute of Finance, Shanghai Jiao Tong University, China, CAFR and NBER, , Jiang Wang, MIT Sloan School of Management, USA, CAFR and NBER,
Suggested Citation
Grace Xing Hu, Jun Pan and Jiang Wang (2021), "Chinese Capital Market: An Empirical Overview", Critical Finance Review: Vol. 10: No. 2, pp 125-206.

Publication Date: 24 Jun 2021
© 2021 Grace Xing Hu, Jun Pan, and Jiang Wang
Chinese capital marketsHistorical returnsVolatility


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In this article:
1. A Brief Introduction of the Chinese Capital Market 
2. Historical Returns on Stocks and Bonds 
3. Volatility and Correlations 
4. Firm Size and Return 
5. Value and Momentum Investing 
6. Comparison with the U.S. Market 
7. Concluding Remarks 


The Chinese capital market, despite its relative short history in its modern form, has experienced a tremendous growth and is now the second largest in the world. Due to China’s tight capital controls, the development of its capital market has mostly been isolated from and hence not been well understood by the rest of the world. Yet, this state of isolation is bound to change substantially as China becomes more integrated into the global financial system. In this paper, we provide an empirical overview of the Chinese capital market: its structure, development and main empirical characteristics.