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Seasonality tests on the Shanghai and Shenzhen stock exchanges: an empirical analysis

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  • Asli Ogunc
  • Srinivas Nippani
  • Kenneth Washer

Abstract

This article investigates Day-of-the-Week and January Effects in the Shanghai and Shenzhen stock markets over the period 1990 to 2006 for both the 'A' and 'B' indices. During this period, these two Chinese stock markets went through the limit period and nonlimit period and then again through a limit period. We examine the seasonality effects both during the different periods and also over the whole period. Our results indicate that the Shanghai A index is prone to higher volatility and also shows some January and Weekend Effects.

Suggested Citation

  • Asli Ogunc & Srinivas Nippani & Kenneth Washer, 2009. "Seasonality tests on the Shanghai and Shenzhen stock exchanges: an empirical analysis," Applied Financial Economics, Taylor & Francis Journals, vol. 19(9), pages 681-692.
    • Handle: RePEc:taf:apfiec:v:19:y:2009:i:9:p:681-692
    DOI: 10.1080/09603100802167296
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    Cited by:

    1. Zhuo Qiao & Keith Lam, 2011. "Granger causal relations among Greater China stock markets: a nonlinear perspective," Applied Financial Economics, Taylor & Francis Journals, vol. 21(19), pages 1437-1450.
    2. Paul McGuinness & Richard Harris, 2011. "Comparison of the 'turn-of-the-month' and lunar new year return effects in three Chinese markets: Hong Kong, Shanghai and Shenzhen," Applied Financial Economics, Taylor & Francis Journals, vol. 21(13), pages 917-929.
    3. Rima Turk Ariss & Rasoul Rezvanian & Seyed M. Mehdian, 2012. "WTO membership, ownership deregulation, and market efficiency: evidence from China," Applied Financial Economics, Taylor & Francis Journals, vol. 22(3), pages 177-195, February.

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