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Calendar Effects in Chinese Stock Market
16 references·6 citing·41 second hop
Calendar Effects in Chinese Stock Market (2005)Calendar Effects in Chinese Stock MarketInstitutional Investors and Equity Prices (1998)Institutional Investors and E…Are Investors Reluctant to Realize Their Losses? (1998)Are Investors Reluctant to Re…The January Effect: Still There after All These Years (1996)The January Effect: Still The…Day of the week effects: new evidence from an emerging stock market (1995)Day of the week effects: new …Anomalies or illusions? Evidence from stock markets in eighteen countries (1994)Anomalies or illusions? Evide…Window Dressing by Pension Fund Managers (1991)Window Dressing by Pension Fu…The italian stock market (1990)The italian stock marketFrom T‐Bills to Common Stocks: Investigating the Generality of Intra‐Week Return Seasonality (1988)From T‐Bills to Common Stocks…Day-of-the-week and intraday effects in stock returns (1986)Day-of-the-week and intraday …The Week-End Effect in Common Stock Returns: The International Evidence (1985)The Week-End Effect in Common…The Disposition to Sell Winners Too Early and Ride Losers Too Long: Theory and Evidence (1985)The Disposition to Sell Winne…A Further Investigation of the Weekend Effect in Stock Returns (1984)A Further Investigation of th…Day of the Week Effects and Asset Returns (1981)Day of the Week Effects and A…Stock returns and the weekend effect (1980)Stock returns and the weekend…CAPITAL GAINS TAXATION AND YEAR‐END STOCK MARKET BEHAVIOR (1977)CAPITAL GAINS TAXATION AND YE…Capital market seasonality: The case of stock returns (1976)Capital market seasonality: T…Temporal-Relational hypergraph tri-Attention networks for stock trend prediction (2023)Temporal-Relational hypergrap…Responsible investment in the Chinese stock market (2019)Responsible investment in the…An empirical analysis of the Adaptive Market Hypothesis with calendar effects:Evidence from China (2018)An empirical analysis of the …The Relationship between Volatility and Trading Volume in the Chinese Stock Market: A Volatility Decomposition Perspective (2012)The Relationship between Vola…Efficient Market Hypothesis and Market Anomaly: Evidence from Day-of-the Week Effect of Malaysian Exchange (2010)Efficient Market Hypothesis a…Calendar variation model based on ARIMAX for forecasting sales data with Ramadhan effect (2010)Calendar variation model base…Statistical principles in experimental design. (1962)EFFICIENT CAPITAL MARKETS: A REVIEW OF THEORY AND EMPIRICAL WORK* (1970)Time Series Analysis: Forecasting and Control (1977)Are Seasonal Anomalies Real? A Ninety-Year Perspective (1988)Stock Prices and Volume (1992)Another Look at the Cross-Section of Expected Stock Returns (1995)The Behavior of Stock-Market Prices (1965)The relationship between return and market value of common stocks (1981)Efficient Capital Markets: II (1991)Losing Sleep at the Market: The Daylight Saving Anomaly (2000)The day of the week effect on stock market volatility (2001)The Halloween Indicator, “Sell in May and Go Away”: Another Puzzle (2002)Size-related anomalies and stock return seasonality (1983)A transaction data study of weekly and intradaily patterns in stock returns (1986)Transactions, Volume, and Volatility (1994)The Message in Daily Exchange Rates (2002)Econometric Models and Economic Forecasts (1990)Industrial Structure and the Comparative Behavior of International Stock Market Indices (1992)International stock market linkages: Evidence from the pre- and post-October 1987 period (1993)Efficient Capital Markets: A Review of Theory and Empirical Work (1970)Stock return variances (1986)Correlations in Price Changes and Volatility across International Stock Markets (1990)The Efficient Market Hypothesis and Its Critics (2003)Prospect Theory: An Analysis of Decision under Risk (1979)Toward a positive theory of consumer choice (1980)Prospect theory: An analysis of decision under risk (1988)Trading Is Hazardous to Your Wealth: The Common Stock Investment Performance of Individual Investors (2000)All That Glitters: The Effect of Attention and News on the Buying Behavior of Individual and Institutional Investors (2007)Risk, Return, and Equilibrium: Empirical Tests (1973)Noise Trader Risk in Financial Markets (1990)Mutual Fund Herding and the Impact on Stock Prices (1999)Inefficient Markets (2000)The market for borrowing stock (2002)Short sales, institutional investors and the cross-section of stock returns (2005)Returns to Buying Winners and Selling Losers: Implications for Stock Market Efficiency (1993)Investor Psychology and Asset Pricing (2001)Do Bulls and Bears Move Across Borders? International Transmission of Stock Returns and Volatility (1994)Order imbalance, liquidity, and market returns (2002)Portfolio Performance Manipulation and Manipulation-proof Performance MeasuresInstitutional trades and intraday stock price behavior (1993)Favoritism in Mutual Fund Families? Evidence on Strategic Cross‐Fund Subsidization (2006)
this work references cited by second hop

References

  • 1998Are Investors Reluctant to Realize Their Losses?3,721 cited
  • 1985The Disposition to Sell Winners Too Early and Ride Losers Too Long: Theory and Evidence3,550 cited
  • 1980Stock returns and the weekend effect1,997 cited
  • 1998Institutional Investors and Equity Prices1,263 cited
  • 1976Capital market seasonality: The case of stock returns1,229 cited
  • 1981Day of the Week Effects and Asset Returns1,173 cited
  • 1984A Further Investigation of the Weekend Effect in Stock Returns896 cited
  • 1985The Week-End Effect in Common Stock Returns: The International Evidence771 cited
  • 1991Window Dressing by Pension Fund Managers689 cited
  • 1994Anomalies or illusions? Evidence from stock markets in eighteen countries543 cited
  • 1986Day-of-the-week and intraday effects in stock returns341 cited
  • 1977CAPITAL GAINS TAXATION AND YEAR‐END STOCK MARKET BEHAVIOR262 cited
  • 1990The italian stock market196 cited
  • 1996The January Effect: Still There after All These Years162 cited
  • 1995Day of the week effects: new evidence from an emerging stock market143 cited
  • 1988

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From T‐Bills to Common Stocks: Investigating the Generality of Intra‐Week Return Seasonality
136 cited

Cited by

  • 2023Temporal-Relational hypergraph tri-Attention networks for stock trend prediction63 cited
  • 2018An empirical analysis of the Adaptive Market Hypothesis with calendar effects:Evidence from China60 cited
  • 2010Calendar variation model based on ARIMAX for forecasting sales data with Ramadhan effect54 cited
  • 2019Responsible investment in the Chinese stock market36 cited
  • 2010Efficient Market Hypothesis and Market Anomaly: Evidence from Day-of-the Week Effect of Malaysian Exchange32 cited
  • 2012The Relationship between Volatility and Trading Volume in the Chinese Stock Market: A Volatility Decomposition Perspective32 cited