Title

Seasonalities in China's Stock Markets: Cultural or Structural?

Jason D. Mitchell and Li Lian Ong

Seasonalities in China's Stock Markets: Cultural or Structural?

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-...
Topics: 
Economy
Keywords: 
Stock Market