Cover IMF Working Papers
Buy Book in Print
Seasonalities in China's Stock Markets: Cultural or Structural?
Author:
Mr. Jason D. Mitchell null

Search for other papers by Mr. Jason D. Mitchell in
Current site
Google Scholar Close
and
Ms. Li L Ong
Search for other papers by Ms. Li L Ong in
Current site
Google Scholar Close
Series:
IMF Working Papers
Volume/Issue:
Volume 2006: Issue 004
Language:
English
Publication Date:
01 Jan 2006
DOI:
https://doi.org/10.5089/9781451862645.001
ISBN:
9781451862645
ISSN:
1018-5941
Pages:
46
Keywords:
WP; abnormal returns; rate of return; holiday effect; share price; A-shares; B-shares; Chinese Lunar New Year; day-of-the-week effect; half-month effect; half-year effect; seasonalities; turn-of-the-year effect; B stock market; Shenzhen B stock share market; B market; January effect; B stock share market; A stock market vis-à-vis; A-shares participant; market liquidity; Stock markets; Liquidity; Stocks; Portfolio investment; North America; Northern Europe; Asia and Pacific
Legal-disclaimer:
IMF Working Papers describe research in progress by the author(s) and are published to elicit comments and to encourage debate. The views expressed in IMF Working Papers are those of the author(s) and do not necessarily represent the views of the IMF, its Executive Board, or IMF management.
Download PDF (726.9 KB) Download Epub
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.
  • Collapse
  • Expand
Cover IMF Working Papers
IMF Working Papers
ISSN:
1018-5941
Publisher:
International Monetary Fund