Seasonalities in China's Stock Markets: Cultural Or Structural?

Seasonalities in China's Stock Markets: Cultural Or Structural?

4.11 - 1251 ratings - Source

In this paper, we examine returns in the Chinese A and B stock markets for evidence of calendar anomalies. We find that both cultural and structural (segmentation) factors play an important role in influencing the pricing of both A- and B-shares in China. There is some evidence of a February turn-of-the-year effect, partly owing to the timing of the Chinese Lunar New Year (CNY); and the holiday effect around the CNY period is stronger and more persistent compared with the other public holidays. The segmentation between the two markets is apparent in the day-of-the-week effect, where B stock markets tend to post significant negative returns on Tuesdays, corresponding with overnight developments in the United States, while significant negative returns are observed on Mondays in the A stock markets. Investment strategies based on some of these calendar anomalies, and allowing for transaction costs, suggest that the A stock markets tend to offer more economically significant returns.well as interpreting any differences in returns and assessing trading and portfolio implications (Berument and Kiymaz, 2001). ... The holiday effect around the culturally based Chinese New Year period also appears stronger compared with theanbsp;...

Title:Seasonalities in China's Stock Markets: Cultural Or Structural?
Author:Jason D. Mitchell, Li L. Ong
Publisher:International Monetary Fund - 2006-01-01


You Must CONTINUE and create a free account to access unlimited downloads & streaming