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Seasonalities in China's Stock Markets

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  • Jason D. Mitchell
  • Li L. Ong
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    Abstract

    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.

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    Bibliographic Info

    Paper provided by International Monetary Fund in its series IMF Working Papers with number 06/04.

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    Length: 46
    Date of creation: 01 Jan 2006
    Date of revision:
    Handle: RePEc:imf:imfwpa:06/04

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    Related research

    Keywords: Stock markets; stock market; statistics; standard deviation; stock returns; portfolio investment; financial economics; stock exchanges; stock exchange; financial markets; significance levels; stock prices; stock market indices; research method; equations; anova; futures markets; dummy variables; standard deviations; stock price; significance level; arithmetic; dummy variable; stock share; stock index; financial systems; outlier; international financial markets; random walk; cash flows; stock market index; sample sizes; equity markets; stock market volatility; autocorrelation; local equation; survey; polynomial; bond; stock market movements; time series; outliers; statistical test; new york stock exchange;

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    References

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    Cited by:
    1. Rezvanian, Rasoul & Turk, Rima A. & Mehdian, Seyed M., 2011. "Investors' reactions to sharp price changes: Evidence from equity markets of the People's Republic of China," Global Finance Journal, Elsevier, vol. 22(1), pages 1-18.

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