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1、June4,201910:35PMGMTChinaQuantitativeStrategyLaunchingQuantChina:ExploringAlphaOpportunitiesinChinaA-sharesBasedontheuniquetradingpatternsinChinaA-shares,China-specificmarketregulations,andvariousbehavioralbiases,weestablishasystematicapproach–QuantChina–toidentifypoten
2、tialalphaopportunitiesthatpersistthroughdifferentmacroconditionsandmarketregimes.MorganStanleydoesandseekstodobusinesswithcompaniescoveredinMorganStanleyResearch.Asaresult,investorsshouldbeawarethatthefirmmayhaveaconflictofinterestthatcouldaffecttheobjectivityofMorganSt
3、anleyResearch.InvestorsshouldconsiderMorganStanleyResearchasonlyasinglefactorinmakingtheirinvestmentdecision.Foranalystcertificationandotherimportantdisclosures,refertotheDisclosureSection,locatedattheendofthisreport.+=Analystsemployedbynon-U.S.affiliatesarenotregistere
4、dwithFINRA,maynotbeassociatedpersonsofthememberandmaynotbesubjecttoNASD/NYSErestrictionsoncommunicationswithasubjectcompany,publicappearancesandtradingsecuritiesheldbyaresearchanalystaccount.ContributorsMORGANSTANLEYASIALIMITED+YinanZhang,Ph.D.QuantitativeAnalyst+852396
5、3-3507Yinan.Zhang@morganstanley.comMORGANSTANLEYASIALIMITED+RonaldHo,CFAQuantitativeAnalyst+8522239-1726Ronald.Ho@morganstanley.comMORGANSTANLEYASIALIMITED+JonathanFGarnerEquityStrategist+8522848-7288Jonathan.Garner@morganstanley.comChinaQuantitativeStrategyBLaunching
6、QuantChina:ExploringAlphaOpportunitiesinChinaA-sharesasedontheuniquetradingpatternsinChinaA-shares,China-specificmarketregulations,andvariousbehavioralbiases,weestablishasystematicapproach–QuantChina–toidentifypotentialalphaopportunitiesthatpersistthroughdifferentmacroc
7、onditionsandmarketregimes.QuantChinaisoursystematicapproachtoidentifythepotentialalphaopportunitiesbasedontheuniquetradingpatternsinChinaA-shares.UnderstandingtheuniquenessofChinaA-shares:Inthisreport,weinvestigateChina-specificmarketregulations,i.e.,theT+1tradingrule,t
8、heconstrainttoshortselling,andthedailypricelimit.Moreover,wedemonstratehowtheseregulationshaveintertwinedwithv
