Comparison of the 'turn-of-the-month' and lunar new year return effects in three Chinese markets: Hong Kong, Shanghai and Shenzhen
Within the context of the mainland Chinese (Shanghai and Shenzhen) and Hong Kong market places, we investigate two of the most important documented calendar anomalies: the 'turn-of-the-month' and Chinese Lunar New Year (CLNY) return effects. Both appear as features of all three markets over the 1995 to 2010 time-frame. However, the 'turn-of-the-month' effect is much more pronounced in Hong Kong and the mainland B-markets than it is in the more segmented and less international (mainland Chinese) A-market. The CLNY effect is concentrated in returns over four trading days: three days prior to and one day after the CLNY holiday. Moreover, the effect is common to all major sectors of the Hong Kong market as well as to the Shanghai and Shenzhen A- and B-markets. Despite an elevation in mean return levels at the 'turn-of-the-month' and CLNY, volatility levels appear little different to other periods. In addition, as in McGuinness (2005), a pre-CLNY seasonal effect is absent from results. A post-CLNY seasonal effect, capturing the earnings reporting season in Hong Kong, also proved elusive. Consistent with McConnell and Xu (2008) for the US, we also offer no discernible evidence of a 'turn-of-the-month' effect at quarter ends. Finally, and importantly, we find strong evidence that Hong Kong short-sales turnover shrinks as the calendar month-end nears. This is consistent with some participants delaying or bringing-forward short positions so as to avoid an anticipated upturn in returns at month-end.
If you experience problems downloading a file, check if you have the proper application to view it first. In case of further problems read the IDEAS help page. Note that these files are not on the IDEAS site. Please be patient as the files may be large.
As the access to this document is restricted, you may want to look for a different version under "Related research" (further below) or search for a different version of it.
Volume (Year): 21 (2011)
Issue (Month): 13 ()
|Contact details of provider:|| Web page: http://www.tandfonline.com/RAFE20|
|Order Information:||Web: http://www.tandfonline.com/pricing/journal/RAFE20|
When requesting a correction, please mention this item's handle: RePEc:taf:apfiec:v:21:y:2011:i:13:p:917-929. See general information about how to correct material in RePEc.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Michael McNulty)
If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.
If references are entirely missing, you can add them using this form.
If the full references list an item that is present in RePEc, but the system did not link to it, you can help with this form.
If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your profile, as there may be some citations waiting for confirmation.
Please note that corrections may take a couple of weeks to filter through the various RePEc services.