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

• Autores: Asli K. Ogune, S. Nippani, Kenneth M. Washer
• Localización: Applied financial economics, ISSN 0960-3107, Vol. 19, Nº. 7-9, 2009, págs. 681-692
• Idioma: inglés
• DOI: 10.1080/09603100802167296
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• Resumen

  • 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.