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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 |
Pubblicazione: | [Washington, D.C.], : International Monetary Fund, Monetary and Financial Systems Dept., 2006 |
Edizione: | 1st ed. |
Descrizione fisica: | 1 online resource (46 p.) |
Soggetto topico: | Stocks - China - Rate of return |
Altri autori: | OngLi Lian |
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 |
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