The answer depends on several factors.

1) Which countries taxes are you trying to recoup?
2) Which country are you from?
3) Which country are you going to?  (Different countries have different tax treaties.)
4) Your best bet is to talk to an international tax consultant.  The answers you get here will be educated guesses at best.

Since you stated you worked in China, you should contatct a Chinese Accountant in relation to file a Chinese Income Tax report and see if you are due a refund. 

Since you are moving to another country in January, and you did not say which one, you will have to check with accountant to see if any reciprocal tax treaties are held by China with thant country.

If the amount involved is not substantial, I would not even bother with all the formalities involved.

Why do I need a Chinese accountant?

I want to do it by myself, as I am used to do it in Europe.

I am moving to Singapore. I do not see what this can have to do with Chinese income tax or, to be more precise, with the liquidation of the income tax credit, as the fiscal residency is changed. I am also not a fiscal resident of the country where I was born (I have been working for longer than 20 years in a different European country).

The amount is substantial, not unsubstantial, as I want to get back also the social security contributions.

The tax laws here are very different from Europe or anywhere else that I have ever lived.  And the social security tax laws are quite new and no one really knows how they work when it comes to refunds or even if you can get one.

Also, as far as I know, there are no tax returns to file here.  What is taken out of your check is gone for good.

The ambiguity of the law here is why we suggest consulting an expert.  The laws may not be clear, but they should have to connections to tell you what is and isn't possible.