In this paper, we introduce the MSCI China A-shares index (MCASI) and analyze MCASI’s properties. From the perspective of index investment, we found that MCASI’s investor sentiments, both overnight sentiment and BW sentiment, provide significant predictability for future MCASI returns, supported by the in-sample and out-of-sample results. From the perspective of sector investment, we show that the sector portfolio of “information transfer, software and information technology services” performs the best among the 10 sector portfolios. In addition, seven approaches of the optimal portfolio in ten sectors are examined, and the results suggest that the classic Markowitz portfolio approach is recommended. Our empirical analysis is helpful for domestic and foreign investors seeking to form investment strategies for MSCI China A-shares.

Previous research has shown that the synergy of collaborative herding behavior and market sentiment is one of the internal mechanisms for stock market volatility. In this paper, inter-agent imitation and the simulation of the collaboration of market sentiment signals are conducted on a platform of computational experiments. The results of the experiments show bubbles or collapse of stock price due to notable collaborative herding behavior and certain stability of the relationship between herding behavior and market volatility.