Seasonalities in China's stock markets : cultural or structural? /

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...

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Detalles Bibliográficos
Clasificación:Libro Electrónico
Autores principales: Mitchell, Jason D. (Jason David), 1966- (Autor), Ong, Li Lian (Autor)
Autor Corporativo: International Monetary Fund. Monetary and Financial Systems Department
Formato: Electrónico eBook
Idioma:Inglés
Publicado: [Washington, D.C.] : International Monetary Fund, Monetary and Financial Systems Dept., 2006.
Colección:IMF working paper ; WP/06/4.
Temas:
Stocks > China > Rate of return.
Actions (Titres de société) > Chine > Taux de rendement.
Stocks > Rate of return
China
Acceso en línea:Texto completo
Tabla de Contenidos:
  • Contents
  • I. INTRODUCTION
  • II. LITERATURE ON SEASONALITIES
  • III. INSTITUTIONAL ASPECTS OF CHINESE STOCK MARKET
  • IV. DATA AND RESEARCH METHOD
  • V. RESULTS
  • VI. EXTENSION: HOLIDAY EFFECT
  • VII. FURTHER EXTENSIONS: INVESTMENT STRATEGIES BASED ON SEASONALITIES
  • VIII. CONCLUSION
  • REFERENCES

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