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Calendar effects in Chinese stock market

Calendar effects in Chinese stock market
Calendar effects in Chinese stock market
Our paper examines the calendar effects in Chinese stock market, particularly monthly and daily effects. The Shanghai Stock Exchange exhibits significantly higher monthly returns in February and November. This can be explained by the fact that the Chinese year-end is in February. Using individual stock returns, we observe the change of the calendar effect over time. In Shanghai, the year-end effect was strong in 1991 – but disappeared later. Studying weekly effects, we found that Fridays are profitable. Chinese investors are “amateur speculator” who often embezzles business fund for private trading; thus, these funds have to be paid back before weekends
1529-7373
75-88
Kling, Gerhard
feea1f9e-c49a-4d9c-b688-ec839cef9624
Gao, Lei
885f6f80-3796-4bdb-b75d-7c8905b6b5de
Kling, Gerhard
feea1f9e-c49a-4d9c-b688-ec839cef9624
Gao, Lei
885f6f80-3796-4bdb-b75d-7c8905b6b5de

Kling, Gerhard and Gao, Lei (2005) Calendar effects in Chinese stock market. Annals of Economics and Finance, 6 (1), 75-88.

Record type: Article

Abstract

Our paper examines the calendar effects in Chinese stock market, particularly monthly and daily effects. The Shanghai Stock Exchange exhibits significantly higher monthly returns in February and November. This can be explained by the fact that the Chinese year-end is in February. Using individual stock returns, we observe the change of the calendar effect over time. In Shanghai, the year-end effect was strong in 1991 – but disappeared later. Studying weekly effects, we found that Fridays are profitable. Chinese investors are “amateur speculator” who often embezzles business fund for private trading; thus, these funds have to be paid back before weekends

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Published date: 2005

Identifiers

Local EPrints ID: 165735
URI: http://eprints.soton.ac.uk/id/eprint/165735
ISSN: 1529-7373
PURE UUID: e3fdc16a-1a80-456b-9c63-a443fe0e0ac2

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Date deposited: 19 Oct 2010 14:29
Last modified: 16 Dec 2019 20:51

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Contributors

Author: Gerhard Kling
Author: Lei Gao

University divisions

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