Do Calendar Effects Still Exist in the Chinese Stock Markets?

Bing Zhang and Xindan Li

Journal of Chinese Economic and Business Studies, 2006, vol. 4, issue 2, 151-163

Abstract: The paper uses rolling sample tests to investigate time-varying calendar effects in the Chinese stock market, based on the GARCH (1, 1)-GED model. The Friday effect existed with low volatility at the early stage, but it seems to have disappeared since 1997. The positive Tuesday effect began to appear then. There is a small-firm January effect with high volatility. The turn-of-the month effect has also disappeared in the Chinese stock market since 1997.

Keywords: JEL Classifications: J14; J15 (search for similar items in EconPapers)
Date: 2006
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Citations: View citations in EconPapers (12)

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DOI: 10.1080/14765280600736999

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