Do Calendar Effects Still Exist in the Chinese Stock Markets?
AbstractThe paper uses rolling sample tests to investigate time-varying calendar effects in the Chinese stock market, based on the GARCH (1, 1)-GED model. The Friday effect existed with low volatility at the early stage, but it seems to have disappeared since 1997. The positive Tuesday effect began to appear then. There is a small-firm January effect with high volatility. The turn-of-the month effect has also disappeared in the Chinese stock market since 1997.
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Bibliographic InfoArticle provided by Taylor and Francis Journals in its journal Journal of Chinese Economic and Business Studies.
Volume (Year): 4 (2006)
Issue (Month): 2 ()
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Find related papers by JEL classification:
- JEL - Labor and Demographic Economics - - - - -
- Cla - Mathematical and Quantitative Methods - - - - -
- J14 - Labor and Demographic Economics - - Demographic Economics - - - Economics of the Elderly; Economics of the Handicapped; Non-Labor Market Discrimination
- J15 - Labor and Demographic Economics - - Demographic Economics - - - Economics of Minorities, Races, and Immigrants; Non-labor Discrimination
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