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Do Calendar Effects Still Exist in the Chinese Stock Markets?

Author

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  • Bing Zhang
  • Xindan Li

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.

Suggested Citation

  • Bing Zhang & Xindan Li, 2006. "Do Calendar Effects Still Exist in the Chinese Stock Markets?," Journal of Chinese Economic and Business Studies, Taylor & Francis Journals, vol. 4(2), pages 151-163.
    • Handle: RePEc:taf:jocebs:v:4:y:2006:i:2:p:151-163
    DOI: 10.1080/14765280600736999
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    References listed on IDEAS

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    Citations

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    Cited by:

    1. Betty Agnani & Henry Aray, 2011. "The January effect across volatility regimes," Quantitative Finance, Taylor & Francis Journals, vol. 11(6), pages 947-953.
    2. Plastun, Alex & Sibande, Xolani & Gupta, Rangan & Wohar, Mark E., 2019. "Rise and fall of calendar anomalies over a century," The North American Journal of Economics and Finance, Elsevier, vol. 49(C), pages 181-205.
    3. Floros, Christos & Salvador, Enrique, 2014. "Calendar anomalies in cash and stock index futures: International evidence," Economic Modelling, Elsevier, vol. 37(C), pages 216-223.
    4. 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.
    5. Harshita & Shveta Singh & Surendra S. Yadav, 2019. "Unique Calendar Effects in the Indian Stock Market: Evidence and Explanations," Journal of Emerging Market Finance, Institute for Financial Management and Research, vol. 18(1_suppl), pages 35-58, April.
    6. Plastun, Alex & Sibande, Xolani & Gupta, Rangan & Wohar, Mark E., 2020. "Historical evolution of monthly anomalies in international stock markets," Research in International Business and Finance, Elsevier, vol. 52(C).
    7. 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.
    8. Lin, Yu En & Chu, Chien Chi & Omura, Akihiro & Li, Bin & Roca, Eduardo, 2020. "Arbitrage risk and the cross-section of stock returns: Evidence from China," Emerging Markets Review, Elsevier, vol. 43(C).
    9. Balaban, Ercan & Ozgen, Tolga & Karidis, Socrates, 2018. "Intraday and interday distribution of stock returns and their asymmetric conditional volatility: Firm-level evidence," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 503(C), pages 905-915.
    10. Suliman Zakaria Suliman Abdalla, 2015. "An Investigation of the Month-of-The-Year Effect for the Sudanese Stock Market," Working Papers 924, Economic Research Forum, revised Jun 2015.

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    Keywords

    JEL Classifications: J14; J15;

    JEL classification:

    • J14 - Labor and Demographic Economics - - Demographic Economics - - - Economics of the Elderly; Economics of the Handicapped; Non-Labor Market Discrimination
    • J15 - Labor and Demographic Economics - - Demographic Economics - - - Economics of Minorities, Races, Indigenous Peoples, and Immigrants; Non-labor Discrimination

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