An Empirical Research of Seasonality in Chinese Stock Markets

Jiaxi Sun ()
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Jiaxi Sun: Southern University of Science and Technology, Business School

A chapter in Proceedings of the 2023 International Conference on Finance, Trade and Business Management (FTBM 2023), 2023, pp 544-551 from Springer

Abstract: Abstract Due to the expansion of the Chinese financial market, the characteristics and influencing factors of the Chinese stock market, including seasonality, have received increasing attention from researchers. This article covers the researchers’ use of several techniques to examine the stock market’s seasonality at various temporal and geographic scales, and then investigates the seasonality in the Chinese stock market. In order to focus on relatively stable stock market data, this article selected A-share data from January 1, 2011, to December 31, 2022 in the CSMAR database. The paper firstly used descriptive statistical methods to study the relationship between monthly average return rate over the entire study period and the average return rate of all data, as well as the relationship between the monthly returns and their volatility. To study the seasonality and volatility, this paper used ARIMA(1,1,1)-GARCH(1,1) model, which has good data match. The results of running these models show that there is a monthly effect in the Chinese market caused by Lunar New Year. Chinese stock markets do not have half-year effect. These results indicate that cultural and structural factors are important in shaping the seasonality of the Chinese stock market. Even considering the associated risks and uncertainties, trading strategies regarding seasonality in the stock market may still bring attractive returns.

Keywords: Seasonality; Volatility; Chinese Stock Market (search for similar items in EconPapers)
Date: 2023
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Persistent link: https://EconPapers.repec.org/RePEc:spr:advbcp:978-94-6463-298-9_59

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DOI: 10.2991/978-94-6463-298-9_59

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