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Record Nr. |
UNINA9910816275703321 |
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Autore |
Mitchell Jason D (Jason David), <1966-> |
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Titolo |
Seasonalities in China's stock markets : cultural or structural? / / prepared by Jason D. Mitchell and Li Lian Ong |
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Pubbl/distr/stampa |
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[Washington, D.C.], : International Monetary Fund, Monetary and Financial Systems Dept., 2006 |
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ISBN |
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1-4623-9522-8 |
1-4527-1786-9 |
1-283-51315-3 |
9786613825605 |
1-4519-0800-8 |
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Edizione |
[1st ed.] |
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Descrizione fisica |
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1 online resource (46 p.) |
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Collana |
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IMF working paper ; ; WP/06/4 |
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Altri autori (Persone) |
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Soggetti |
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Stocks - China - Rate of return |
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Lingua di pubblicazione |
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Formato |
Materiale a stampa |
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Livello bibliografico |
Monografia |
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Note generali |
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Nota di bibliografia |
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Includes bibliographical references (p. 41-44). |
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Nota di contenuto |
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""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"" |
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Sommario/riassunto |
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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 |
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