IDEAS home Printed from https://ideas.repec.org/a/taf/apfiec/v21y2011i13p917-929.html
   My bibliography  Save this article

Comparison of the 'turn-of-the-month' and lunar new year return effects in three Chinese markets: Hong Kong, Shanghai and Shenzhen

Author

Listed:
  • Paul McGuinness
  • Richard Harris

Abstract

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.

Suggested Citation

  • Paul McGuinness & Richard Harris, 2011. "Comparison of the 'turn-of-the-month' and lunar new year return effects in three Chinese markets: Hong Kong, Shanghai and Shenzhen," Applied Financial Economics, Taylor & Francis Journals, vol. 21(13), pages 917-929.
  • Handle: RePEc:taf:apfiec:v:21:y:2011:i:13:p:917-929
    DOI: 10.1080/09603107.2010.548782
    as

    Download full text from publisher

    File URL: http://www.tandfonline.com/doi/abs/10.1080/09603107.2010.548782
    Download Restriction: Access to full text is restricted to subscribers.

    As the access to this document is restricted, you may want to search for a different version of it.

    References listed on IDEAS

    as
    1. Jason D. Mitchell & Li L Ong, 2006. "Seasonalities in China's Stock Markets; Cultural or Structural?," IMF Working Papers 06/4, International Monetary Fund.
    Full references (including those not matched with items on IDEAS)

    Citations

    Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
    as


    Cited by:

    1. Maher, Daniela & Parikh, Anokhi, 2013. "The turn of the month effect in India: A case of large institutional trading pattern as a source of higher liquidity," International Review of Financial Analysis, Elsevier, vol. 28(C), pages 57-69.

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. 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: (Chris Longhurst). General contact details of provider: http://www.tandfonline.com/RAFE20 .

    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 CitEc recognized a reference but did not link an item in RePEc 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 RePEc Author Service 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.

    IDEAS is a RePEc service hosted by the Research Division of the Federal Reserve Bank of St. Louis . RePEc uses bibliographic data supplied by the respective publishers.