Seasonalities in China's Stock Markets: Cultural or Structural?

WPIEA2006004 Image
Price:  $15.00

Author/Editor: Li L. Ong, Jason D. Mitchell
Release Date: © January, 2006
ISBN : 978-1-45186-264-5
Stock #: WPIEA2006004
English
Stock Status: Available

Languages and formats available

EnglishFrenchSpanishArabicRussianChinesePortuguese
PaperbackYes
PDFYes

Description

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.




More publications in this series: Working Papers


More publications by: Li L. Ong ; Jason D. Mitchell