Series: IMF Working Papers
Author(s): Jason Mitchell , and Li Ong
Publisher: INTERNATIONAL MONETARY FUND
Publication Date: 01 January 2006
Keywords: A-shares, B-shares, Chinese Lunar New Year, day-of-the-week effect, half-month effect, half-year effect, holiday effect, seasonalities, turn-of-the-year effect, stock market
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...