Seasonalities in China's stock markets : cultural or structural? / / prepared by Jason D. Mitchell and Li Lian Ong

• Autore: Mitchell Jason D (Jason David), <1966->
• 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
• Serie: IMF working paper ; ; WP/06/4.