Screening Chinese Stocks by Turnover and 2021 Listing Date

Summary

This document describes a Chinese equity screen for stocks with turnover between 3% and 12%, excluding the STAR Market and selecting companies listed in 2021. It presents the turnover band as a way to focus on stocks with some trading activity that may still be less widely recognized, while excluding a market segment it characterizes as relatively risky.

The article warns that these filters can miss strong companies or include unsuitable ones. It suggests adding valuation and dividend measures, such as price-to-earnings, price-to-book, and dividend yield, to assess company quality. The included formula example does not fully match the stated screen: it uses moving-average conditions and time checks, and does not implement the turnover range or market-segment exclusion. No backtest results or performance evidence are provided, so the screen's proposed benefits are unverified.

Key ideas

• The stated screen selects stocks with turnover from 3% to 12% that are outside the STAR Market and listed in 2021.
• The article presents turnover as a liquidity filter and listing date as a way to focus on newer companies.
• It cautions that the screen can omit strong stocks and select unsuitable ones.
• The suggested refinements include valuation and dividend measures.
• The sample formula does not implement the full screening logic described in the text.

Tags

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