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|z 9781451862645
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|a 1018-5941
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|a BD-DhAAL
|c BD-DhAAL
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|a Mitchell, Jason.
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|a Seasonalities in China's Stock Markets :
|b Cultural or Structural? /
|c Jason Mitchell, Li Ong.
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|a Washington, D.C. :
|b International Monetary Fund,
|c 2006.
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|a 1 online resource (46 pages)
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|a IMF Working Papers
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|a <strong>Off-Campus Access:</strong> No User ID or Password Required
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|a <strong>On-Campus Access:</strong> No User ID or Password Required
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|a Electronic access restricted to authorized BRAC University faculty, staff and students
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|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.
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|a Mode of access: Internet
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|a United States
|2 imf
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|a Ong, Li.
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|a IMF Working Papers; Working Paper ;
|v No. 2006/004
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| 856 |
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|z Full text available on IMF
|u http://elibrary.imf.org/view/journals/001/2006/004/001.2006.issue-004-en.xml
|z IMF e-Library
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