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010   $a9786613825605
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100   $a20090810d2006      uy         0
101 0 $aeng
135   $aur|n|---|||||
181   $ctxt
182   $cc
183   $acr
200 10$aSeasonalities in China's stock markets $ecultural or structural? /$fprepared by Jason D. Mitchell and Li Lian Ong
205   $a1st ed.
210   $a[Washington, D.C.] $cInternational Monetary Fund, Monetary and Financial Systems Dept.$d2006
215   $a1 online resource (46 p.)
225 1 $aIMF working paper ;$vWP/06/4
300   $a"January 2006."
311   $a1-4518-6264-4 
320   $aIncludes bibliographical references (p. 41-44).
327   $a""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""
330 3 $aIn this paper, we examine returns in the Chinese A and B stock markets for evidence of calendar anomalies. We find that both cultural and structural (segmentation) factors play an important role in influencing the pricing of both A- and B-shares in China. There is some evidence of a February turn-of-the-year effect, partly owing to the timing of the Chinese Lunar New Year (CNY); and the holiday effect around the CNY period is stronger and more persistent compared with the other public holidays. The segmentation between the two markets is apparent in the day-of-the-week effect, where B stock markets tend to post significant negative returns on Tuesdays, corresponding with overnight developments in the United States, while significant negative returns are observed on Mondays in the A stock markets. Investment strategies based on some of these calendar anomalies, and allowing for transaction costs, suggest that the A stock markets tend to offer more economically significant returns.
410  0$aIMF working paper ;$vWP/06/4.
606   $aStocks$zChina$xRate of return
615  0$aStocks$xRate of return.
700   $aMitchell$b Jason D$g(Jason David),$f1966-$01764189
701   $aOng$b Li Lian$01756308
712 02$aInternational Monetary Fund.$bMonetary and Financial Systems Dept.
801  0$bMiAaPQ
801  1$bMiAaPQ
801  2$bMiAaPQ
906   $aBOOK
912   $a9910816275703321
996   $aSeasonalities in China's stock markets$94204937
997   $aUNINA