Famously Volatile, Richly Rewarding

"You kind of have information where you largely have to trust the Chinese government as your partner [and] that this information is accurate and reflects the reality of what has happened at the company," said Michael Breen, senior analyst at Morningstar.

Two qualities best protect investors in China: a long-term outlook and skin thick enough to ride out the bumps, money managers said.

Investors who aren't Chinese citizens can't invest directly in China's so-called A-shares. Companies listed on the A-shares market are incorporated in mainland China and trade in renminbi, the official local currency. It's these shares that have given the market its breathtaking gains and dizzying drops. Many analysts say these shares have been driven up by speculative and inexperienced domestic retail investors, who are restricted from investing overseas.

In late February, a plunge of nearly 9 percent in the Shanghai index was blamed for triggering a global equities sell-off. The index recovered to hit all-time highs just a month later. But then the bumps came again, with a 6 percent drop in late May followed by an 8.3 percent decline the following week.

Foreigners do have access to the much smaller market in B-shares, which trade in dollars on the Chinese exchanges, and H-shares, which are stocks of companies incorporated in mainland China but listed in Hong Kong.

For individual investors in the United States, the easiest and perhaps safest way to play China is through a China-focused mutual fund. Wall Street has been rolling out more of them in recent years, and there are more than a dozen to choose from. These funds often own little or no A-shares and are comprised of H-share and B-share holdings as well as shares of Chinese companies listed in the U.S. exchanges.

For the first six months of the year, China funds gained an average of 25 percent, compared with less than 9 percent for U.S. diversified equity funds, according to data firm Lipper. Funds that focus on various emerging markets returned about 17 percent.

Because of the Hong Kong exchange's stricter requirements, H-shares are generally regarded as higher-quality. And in general, market swings have been easier for H-share investors to stomach. When Shanghai A-shares fell 8.8 percent Feb. 27, H-shares dropped 3.1 percent.

The Hong Kong-based shares have registered robust gains, though not as impressive as those on the mainland. The benchmark H-shares index has gained 24 percent this year, compared with 49 percent for Shanghai A-shares.

Money managers have varied opinions on H-shares' vulnerability to fallout from the mainland market. But one thing is certain: A-shares, which trade at about 40 times earnings, compared with 20 times for H-shares, have a longer way to fall.

Richard Gao, portfolio manager of the Matthews China Fund, said he would be concerned about a downturn in the A-share market if it were caused by weakening economic fundamentals. He would be less worried by a retreat of speculative money. The Matthews fund invests in H-shares but does not own A-shares.

For now, Gao is not too worried. "The overall macro-economy has been growing very fast. Corporate earnings have been strong," he said.