Seasonalities in China's Stock Markets: Cultural or Structural?

Jason Mitchell and Li Ong

No 2006/004, IMF Working Papers from International Monetary Fund

Abstract: 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.

Keywords: WP; abnormal returns; rate of return; holiday effect; share price; A-shares; B-shares; Chinese Lunar New Year; day-of-the-week effect; half-month effect; half-year effect; seasonalities; turn-of-the-year effect; B stock market; Shenzhen B stock share market; B market; January effect; B stock share market; A stock market vis-à-vis; A-shares participant; market liquidity; Stock markets; Liquidity; Stocks; Portfolio investment; North America; Northern Europe; Asia and Pacific (search for similar items in EconPapers)
Pages: 46
Date: 2006-01-01
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Citations: View citations in EconPapers (6)

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