Screening Chinese Stocks by Turnover, Bid Depth, and Listing Age

Summary

This Chinese stock screen selects shares with turnover between 3% and 12%, first-level bid volume greater than first-level ask volume, and a listing date more than ten years earlier. It then takes up to 30 names, with the formula example also restricting the universe to HS300 constituents. A Python example demonstrates combining market-detail, listing-date, and daily turnover data, although the precise dates and data handling in the sample may not match the stated screening setup.

The article presents turnover as a measure of trading activity, the bid-versus-ask comparison as an indication of order-book participation, and listing age as a stability proxy. It acknowledges that the screen uses only quantitative market and listing information and may miss relevant technical and fundamental factors. Suggested additions include valuation measures and technical indicators. No evidence from backtests or realized returns is included, so the claimed stability and market recognition are not established by the document.

Key ideas

• The screen requires turnover from 3% to 12%, greater top-level bid than ask volume, and more than ten years since listing.
• The formula example selects up to 30 stocks from the HS300 universe.
• The Python example joins order-book, listing-date, and turnover data, but its details merit validation.
• The screen omits broader fundamental and technical information.
• No backtest or realized-performance evidence is presented.

Tags

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