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

January 1, 2006

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Format: Chicago

Jason D. Mitchell, and Li L Ong. Seasonalities in China's Stock Markets: Cultural or Structural?, (USA: International Monetary Fund, 2006) accessed November 21, 2024

Disclaimer: This Working Paper should not be reported as representing the views of the IMF.The views expressed in this Working Paper are those of the author(s) and do not necessarily represent those of the IMF or IMF policy. Working Papers describe research in progress by the author(s) and are published to elicit comments and to further debate

Summary

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.

Subject: Asset and liability management, Balance of payments, Financial institutions, Financial markets, Liquidity, Portfolio investment, Stock markets, Stocks

Keywords: A stock market vis-à-vis, Abnormal returns, A-shares, A-shares participant, Asia and Pacific, B market, B stock market, B stock share market, B-shares, Chinese Lunar New Year, Day-of-the-week effect, Half-month effect, Half-year effect, Holiday effect, January effect, Liquidity, Market liquidity, North America, Northern Europe, Portfolio investment, Rate of return, Seasonalities, Share price, Shenzhen B stock share market, Stock markets, Stocks, Turn-of-the-year effect, WP

Publication Details

Pages:

46
Volume:

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DOI:

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Issue:

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Series:

Working Paper No. 2006/004
Stock No:

WPIEA2006004
ISBN:

9781451862645
ISSN:

1018-5941

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