1.

Record Nr.

UNINA9910816275703321

Autore

Mitchell Jason D (Jason David), <1966->

Titolo

Seasonalities in China's stock markets : cultural or structural? / / prepared by Jason D. Mitchell and Li Lian Ong

Pubbl/distr/stampa

[Washington, D.C.], : International Monetary Fund, Monetary and Financial Systems Dept., 2006

ISBN

1-4623-9522-8

1-4527-1786-9

1-283-51315-3

9786613825605

1-4519-0800-8

Edizione

[1st ed.]

Descrizione fisica

1 online resource (46 p.)

Collana

IMF working paper ; ; WP/06/4

Altri autori (Persone)

OngLi Lian

Soggetti

Stocks - China - Rate of return

Lingua di pubblicazione

Inglese

Formato

Materiale a stampa

Livello bibliografico

Monografia

Note generali

"January 2006."

Nota di bibliografia

Includes bibliographical references (p. 41-44).

Nota di contenuto

""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""

Sommario/riassunto

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.