Calendar Effects in Chinese Stock Market

Lei Gao () and Gerhard Kling
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Lei Gao: Institute of Behavioral Finance, College of Business, Hangzhou Dianzi University

Annals of Economics and Finance, 2005, vol. 6, issue 1, 75-88

Abstract: Our paper examines calendar effects in Chinese stock market, particularly monthly and daily effects. Using individual stock returns, we observe the change of the calendar effect over time. In Shanghai and Shenzhen, the year-end effect was strong in 1991 -- but disappeared later. As the Chinese year-end is in February, the highest returns can be achieved in March and April. Studying daily effects, we found that Fridays are profitable. Chinese investors are "amateur speculator" who often embezzles business fund for private trading; thus, these funds are used for short-term speculations before they are paid back prior to weekends.

Keywords: Year-end effect; China; Anomalies; Tax-loss selling (search for similar items in EconPapers)
JEL-codes: C22 G28 K22 (search for similar items in EconPapers)
Date: 2005
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (26)

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Persistent link: https://EconPapers.repec.org/RePEc:cuf:journl:y:2005:v:6:i:1:p:75-88

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