Do Calendar Effects Still Exist in the Chinese Stock Markets?

Bing Zhang · Xindan Li

27 citations0/0 files storedJournal of Chinese Economic and Business Studies

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Financial Markets and Investment Strategies Financial Risk and Volatility Modeling Stock Market Forecasting Methods

Abstract

The paper uses rolling sample tests to investigate time-varying calendar effects in the Chinese stock market, based on the GARCH (1, 1)-GED model. The Friday effect existed with low volatility at the early stage, but it seems to have disappeared since 1997. The positive Tuesday effect began to appear then. There is a small-firm January effect with high volatility. The turn-of-the month effect has also disappeared in the Chinese stock market since 1997.

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References

1981The relationship between return and market value of common stocks 2012The Econometrics of Financial Markets 1997The Econometrics of Financial Markets 1980Stock returns and the weekend effect 1976Capital market seasonality: The case of stock returns 1988Are Seasonal Anomalies Real? A Ninety-Year Perspective 1985The Week-End Effect in Common Stock Returns: The International Evidence 1987A monthly effect in stock returns

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