| Description |
1 online resource (44 pages) : illustrations |
| Series |
IMF working paper ; WP/06/4 |
|
IMF working paper ; WP/06/4.
|
| Contents |
Contents -- I. INTRODUCTION -- II. LITERATURE ON SEASONALITIES -- III. INSTITUTIONAL ASPECTS OF CHINESE STOCK MARKET -- IV. DATA AND RESEARCH METHOD -- V. RESULTS -- VI. EXTENSION: HOLIDAY EFFECT -- VII. FURTHER EXTENSIONS: INVESTMENT STRATEGIES BASED ON SEASONALITIES -- VIII. CONCLUSION -- REFERENCES |
| Summary |
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 |
| Bibliography |
Includes bibliographical references (pages 41-44) |
| Notes |
Print version record |
| Subject |
Stocks -- China -- Rate of return
|
|
Stocks -- Rate of return
|
|
China
|
| Form |
Electronic book
|
| Author |
Ong, Li Lian, author
|
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International Monetary Fund. Monetary and Financial Systems Department.
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| ISBN |
9781451908008 |
|
1451908008 |
|
