05327oam 22012494 450 991081627570332120240410162250.01-4623-9522-81-4527-1786-91-283-51315-397866138256051-4519-0800-8(CKB)3360000000443552(EBL)3012547(SSID)ssj0000948622(PQKBManifestationID)11576953(PQKBTitleCode)TC0000948622(PQKBWorkID)10951571(PQKB)11416315(OCoLC)535146952(IMF)WPIEE2006004(MiAaPQ)EBC3012547(EXLCZ)99336000000044355220020129d2006 uf 0engur|n|---|||||txtccrSeasonalities in China's Stock Markets : Cultural or Structural? /Jason Mitchell, Li Ong1st ed.Washington, D.C. :International Monetary Fund,2006.1 online resource (46 p.)IMF Working Papers"January 2006."1-4518-6264-4 Includes bibliographical references (p. 41-44).""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""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.IMF Working Papers; Working Paper ;No. 2006/004StocksChinaRate of returnExports and ImportsimfFinance: GeneralimfInvestments: StocksimfPortfolio ChoiceimfInvestment DecisionsimfInformation and Market EfficiencyimfEvent StudiesimfInternational Financial MarketsimfGeneral Financial Markets: General (includes Measurement and Data)imfPension FundsimfNon-bank Financial InstitutionsimfFinancial InstrumentsimfInstitutional InvestorsimfCurrent Account AdjustmentimfShort-term Capital MovementsimfFinanceimfInvestment & securitiesimfStock marketsimfLiquidityimfStocksimfPortfolio investmentimfFinancial marketsimfAsset and liability managementimfFinancial institutionsimfBalance of paymentsimfStock exchangesimfEconomicsimfPortfolio managementimfUnited StatesimfStocksRate of return.Exports and ImportsFinance: GeneralInvestments: StocksPortfolio ChoiceInvestment DecisionsInformation and Market EfficiencyEvent StudiesInternational Financial MarketsGeneral Financial Markets: General (includes Measurement and Data)Pension FundsNon-bank Financial InstitutionsFinancial InstrumentsInstitutional InvestorsCurrent Account AdjustmentShort-term Capital MovementsFinanceInvestment & securitiesStock marketsLiquidityStocksPortfolio investmentFinancial marketsAsset and liability managementFinancial institutionsBalance of paymentsStock exchangesEconomicsPortfolio managementMitchell Jason1436802Ong Li1660797International Monetary Fund.Monetary and Financial Systems Dept.DcWaIMFBOOK9910816275703321Seasonalities in China's Stock Markets4083371UNINA