Seasonalities in China's Stock Markets : : Cultural or Structural? / / Jason Mitchell, Li Ong

• Autore: Mitchell Jason
• Pubblicazione: Washington, D.C. : , : International Monetary Fund, , 2006
• Edizione: 1st ed.
• Descrizione fisica: 1 online resource (46 p.)
• Soggetto topico: Stocks - China - Rate of return; Exports and Imports; Finance: General; Investments: Stocks; Portfolio Choice; Investment Decisions; Information and Market Efficiency; Event Studies; International Financial Markets; General Financial Markets: General (includes Measurement and Data); Pension Funds; Non-bank Financial Institutions; Financial Instruments; Institutional Investors; Current Account Adjustment; Short-term Capital Movements; Finance; Investment & securities; Stock markets; Liquidity; Stocks; Portfolio investment; Financial markets; Asset and liability management; Financial institutions; Balance of payments; Stock exchanges; Economics; Portfolio management
• Soggetto geografico: United States
• Altri autori: OngLi
• 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.
• Titolo autorizzato: Seasonalities in China's Stock Markets
• ISBN: 1-4623-9522-8; 1-4527-1786-9; 1-283-51315-3; 9786613825605; 1-4519-0800-8
• Formato: Materiale a stampa
• Livello bibliografico: Monografia
• Lingua di pubblicazione: Inglese
• Record Nr.: 9910816275703321
• Lo trovi qui: Univ. Federico II
• Serie: IMF Working Papers; Working Paper ; ; No. 2006/004