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Return seasonalities in the Chinese stock market

Author

Listed:
  • Meng, Chen
  • Du, Qingjie
  • Shu, Haibing

Abstract

We document strong stock return seasonalities in the Chinese stock market. Stocks performing well in a certain calendar month continue to perform well in the same calendar month in future. Furthermore, there follows a return reversal in other months, suggesting that the stock return seasonalities are more likely to be driven by temporary mispricing. Our results extend Keloharju et al. (2021) which examines the U.S. market and we show that the return seasonalities are pervasive in both developed and emerging markets. More importantly, we highlight the temporary mispricing as the common driver of return seasonalities, regardless of market conditions and development status in different markets.

Suggested Citation

  • Meng, Chen & Du, Qingjie & Shu, Haibing, 2024. "Return seasonalities in the Chinese stock market," Pacific-Basin Finance Journal, Elsevier, vol. 85(C).
    • Handle: RePEc:eee:pacfin:v:85:y:2024:i:c:s0927538x24001422
    DOI: 10.1016/j.pacfin.2024.102391
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    More about this item

    Keywords

    Cross-sectional return; Seasonalities; Mispricing; Risk;
    All these keywords.

    JEL classification:

    • G12 - Financial Economics - - General Financial Markets - - - Asset Pricing; Trading Volume; Bond Interest Rates
    • G14 - Financial Economics - - General Financial Markets - - - Information and Market Efficiency; Event Studies; Insider Trading
    • G15 - Financial Economics - - General Financial Markets - - - International Financial Markets

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