* HSI -0.3 pct, H-shares -0.6 pct, CSI300 -0.3 pct
* High yield tumble widens to include Hong Kong utilities
* Link REIT headed for worst week since 2008 financial crisis
* Chalco jumps after GS upgrade on expected 2013 profits
By Clement Tan
HONG KONG, May 30 (Reuters) - Hong Kong shares sank to their lowest in a month on Thursday as a sell-off in high-yielding counters widened to the utilities sector on mounting worries that the U.S. Federal Reserve may soon begin to wind down its massive stimulus programme.
Real estate investment trusts (REIT), among the biggest recipients of liquidity from waves of central bank easing, suffered again. Link REIT dived another 4.1 percent and is set for its worst week since October 2008.
The Hang Seng Index finished a choppy session down 0.3 percent at 22,484.3 points, its lowest close since April 25. The China Enterprises Index of the top Chinese listings in Hong Kong slipped 0.6 percent.
The Shanghai Composite Index ended down 0.3 percent at 2,317.8 after closing on Wednesday at its highest since March 25. The CSI300 of the leading Shanghai and Shenzhen A-share listings also slipped 0.3 percent.
Both the onshore Chinese indexes are still set for their first monthly gain in four, up 6.4 and 7.6 percent, respectively. In contrast, the Hang Seng benchmark is down 1.1 percent in May and the H-share index has lost 2.1 percent.
Hong Kong bourse turnover climbed for a third-straight day and was above its 20-day moving average for only the eighth session in May. Shanghai volumes declined from Wednesday, but stayed above its average for an eleventh consecutive session.
"This is not quite risk aversion because investors are rotating out of so-called defensive, high yielding stocks into selective growth ones in a risk off environment," said Wang Aochao, UOB-Kay Hian's Shanghai-based head of China equity research.
"I suspect this may actually lead to increased foreign demand for Chinese shares listed in the mainland because the A-share market is relatively insulated from the global capital environment," Wang added.
On Thursday, Power Assets, CLP Holdings and Hong Kong & China Gas were the biggest percentage losers among Hang Seng Index components, each sliding more than 3 percent.
Power Assets fell 3.7 percent to its lowest since March. Still up 6.5 percent in 2013 after double-digit percentage gains in the previous three years, it is now trading at a 19 percent premium over its historical median, according to Thomson Reuters StarMine, suggesting more losses are possible.
Hong Kong property developer New World Development fell 3.3 percent, while Sun Hung Kai Properties fell 2.5 percent to near 2013 lows set in March and April.
Chinese property developer Country Garden, which earlier this year tapped the junk bond market to raise funds at a time when investors were hunting for yields, fell 4.1 percent.
Langham Hospitality Investments, an investment trust controlled by property developer Great Eagle Holdings Ltd, fell 9.2 percent from its HK$5.00 per share IPO price on its trading debut in Hong Kong.
This may not augur well for Hopewell Hong Kong Properties Ltd, a unit of Hopewell Holdings Ltd, which launched on Thursday an up to $780 million Hong Kong initial public offering, according to a term sheet of the deal seen by Reuters.
Investors rotated into growth counters despite their outperformance on the year, suggesting they may be willing to pay a premium for growth as the Fed cut back on its quantitative easing.
Chinese internet giant Tencent Holdings gained 1.4 percent to near its record closing high, while some Chinese consumer counters also saw gains, including Want Want China , rising 1.9 percent to stretch 2013 gains to more than 11 percent.
Aluminum Corporation of China (Chalco) jumped 4 percent in Hong Kong after Goldman Sachs upgraded its H-share listing from "sell" to "neutral," expecting the company to turn profitable in 2013 after its proposed disposal of its loss-making aluminum extrusion and processing assets.
Gains on the day helped Chalco cut 2013 losses to 11.3 percent. Now trading at a 47 percent percent discount to its historical median price-to-book multiple, Chalco could see more gains in the short term.
Chinese brokerages were lifted by a report in the Economic Information Daily newspaper that mainland regulators are likely to lower the threshold for bond issues in the interbank market, with a short-selling trading mechanism under consideration.
Haitong Securities climbed 3 percent in Shanghai, while rising 1.1 percent in Hong Kong. Both its listings closed at their respective highest since March.