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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...
| Clasificación: | Libro Electrónico |
|---|---|
| Autores principales: | , |
| Autor Corporativo: | |
| Formato: | Electrónico eBook |
| Idioma: | Inglés |
| Publicado: |
[Washington, D.C.] :
International Monetary Fund, Monetary and Financial Systems Dept.,
2006.
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| Colección: | IMF working paper ;
WP/06/4. |
| Temas: | |
| Acceso en línea: | Texto completo |
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| 100 | 1 | |a Mitchell, Jason D. |q (Jason David), |d 1966- |e author. | |
| 245 | 1 | 0 | |a Seasonalities in China's stock markets : |b cultural or structural? / |c prepared by Jason D. Mitchell and Li Lian Ong. |
| 260 | |a [Washington, D.C.] : |b International Monetary Fund, Monetary and Financial Systems Dept., |c 2006. | ||
| 300 | |a 1 online resource (44 pages) : |b illustrations | ||
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| 490 | 1 | |a IMF working paper ; |v WP/06/4 | |
| 504 | |a Includes bibliographical references (pages 41-44). | ||
| 588 | 0 | |a Print version record. | |
| 520 | 3 | |a 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. | |
| 505 | 0 | |a 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 | |
| 590 | |a ProQuest Ebook Central |b Ebook Central Academic Complete | ||
| 650 | 0 | |a Stocks |z China |x Rate of return. | |
| 650 | 6 | |a Actions (Titres de société) |z Chine |x Taux de rendement. | |
| 650 | 7 | |a Stocks |x Rate of return |2 fast | |
| 651 | 7 | |a China |2 fast |1 https://id.oclc.org/worldcat/entity/E39PBJcrd4RjtCBk4wfMhTwwG3 | |
| 700 | 1 | |a Ong, Li Lian, |e author. | |
| 710 | 2 | |a International Monetary Fund. |b Monetary and Financial Systems Department. | |
| 758 | |i has work: |a Seasonalities in China's stock markets (Text) |1 https://id.oclc.org/worldcat/entity/E39PCGdTyh6dxTtGCd4BBj68BX |4 https://id.oclc.org/worldcat/ontology/hasWork | ||
| 830 | 0 | |a IMF working paper ; |v WP/06/4. | |
| 856 | 4 | 0 | |u https://ebookcentral.uam.elogim.com/lib/uam-ebooks/detail.action?docID=3012547 |z Texto completo |
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