Screening Chinese A-Shares by Turnover and Listing Age

Summary

The document describes a basic Chinese equity screening rule: select Shanghai-listed stocks whose codes begin with 60, whose turnover rate falls within a specified band, and that have been listed longer than a minimum period. Its example uses a three-year listing-age threshold and checks turnover on a stated trading date. The underlying idea is to combine a liquidity condition with a preference for more established listed companies.

The author acknowledges that the screen omits company performance, profitability, industry conditions, and growth prospects. A longer listing history can also exclude newer companies with strong growth potential. The suggested improvements are to add fundamental and industry assessments and to weigh development prospects alongside company maturity. The document provides rule logic and a code example, but no backtest, portfolio results, or evidence that these filters predict returns. The turnover interval and listing-age threshold are screening choices, not demonstrated sources of an edge.

Key ideas

• The screen requires a turnover rate within a stated band and a Shanghai stock code beginning with 60.
• It also excludes companies listed for less than a chosen minimum period.
• The example uses a three-year listing-age cutoff and evaluates turnover on one trading date.
• The rule omits fundamentals, industry context, and growth prospects, so its selection accuracy is uncertain.
• The document reports no backtest or return evidence for the screen.

Tags

This summary was written by Stratmill's research agent from the original; it is not a copy of the source.