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Calendar effects of the Chinese stock markets

Author

Listed:
  • Jaw-Kai Wang
  • Udechukwu Ojiako
  • Ling Wang

Abstract

Drawing upon extant literature on the impact of calendar effects (daily effect and monthly effect) on the stock markets, the authors employ regression analysis to test the relationship between mean daily returns of trading days and mean returns of the remaining trading days of the week (in effect, calendar effects), on the Chinese stock markets. The study employs observations drawn from the Shanghai and Shenzhen composite stock indices between January 2000 and December 2010. Based on the analysis of the regression results, we find the following. For the tests and results of the day of the week effect, in the Shanghai stock market, there is significantly positive Monday effect and significantly negative Thursday effect. On the other hand, we find a weak Monday effect and Thursday effect in the Shenzhen stock market. For monthly effect, summary statistics of monthly equity returns for both stock markets show the findings of the February effect in China are similar to the January effect in countries where year-end is in December.

Suggested Citation

  • Jaw-Kai Wang & Udechukwu Ojiako & Ling Wang, 2013. "Calendar effects of the Chinese stock markets," International Journal of Business and Emerging Markets, Inderscience Enterprises Ltd, vol. 5(1), pages 67-82.
    • Handle: RePEc:ids:ijbema:v:5:y:2013:i:1:p:67-82
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    Cited by:

    1. Gerardo ¡°Gerry¡± Alfonso Perez, 2018. "Monday Effect in the Chinese Stock Market," International Journal of Financial Research, International Journal of Financial Research, Sciedu Press, vol. 9(1), pages 1-7, January.
    2. Guo, Shuxin & Yuan, Yue & Ma, Feng, 2022. "Cross-sectional seasonalities and seasonal reversals: Evidence from China," International Review of Financial Analysis, Elsevier, vol. 82(C).

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