Seasonality effects : evidence from China.

• Main Authors: Chia, Hui May., Lim, Yi Ting., Peh, Xue Yun.
• Other Authors: Chang Xin
• Format: Final Year Project
• Language: English
• Published: 2009
• Subjects: DRNTU::Business::Finance::Equity
• Online Access: http://hdl.handle.net/10356/15245
• Institution: Nanyang Technological University

In this paper, we examine the presence of seasonality in the Chinese stock market. The market comprising of the Shanghai Stock Exchange (SHSE) and Shenzhen Stock Exchange (SZSE) has been largely characterized by governmental interventions. We test for seasonality effects in the aggregated stock returns i.e. combined returns on the SHSE and SZSE A- and B-Share markets. There is no month-of-year-effect found in Chinese stock market during the period of 1991 to 2007. We find Monday returns in China, on average, to be higher than returns on other days; while Thursday has the lowest mean return in China. We argue that introduction of daily price limit regulations may have resulted in a shift of Monday effect from negative to positive. In addition, seasonal patterns between the two classes of shares, A-Shares and B-Shares in the Chinese stock market are found to be different. Specifically, monthly seasonal patterns are only exhibited in B-shares while day seasonalities are evident in A-shares market only.