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

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.

Comparison of the ‘turn-of-the-month’ and lunar new year return effects in three Chinese markets: Hong Kong, Shanghai and Shenzhen

“…3 For early and recent examinations of day-of-the-week effects in Hong Kong, see Ho (1990) and Yakob et al (2005). For Shanghai and Shenzhen, see Ogunc et al (2009). Bohl et al (2010) point to weakening day-of-the-week effects in the Chinese B-share markets in the aftermath of the markets ' 2001 reform.…”

Does the Day of the Week form Still Persistent on the Chinese Stock Market?

“…The study asserted inefficient Shanghai and Shenzhen stock markets [30] 1990-1993 Lo-Mackinlay Inefficient for both Shanghai and Shenzhen including both shares (A) & (B) [29] 1990-1997 Lo-Mackinlay Not efficient markets [33] 1990-2006 Regression Inefficient Shanghai for (A) share with high volatility [34] 1995-2016 Rolling sample& GARCH (1.1) Inefficient markets both population should have the same mean return, just in case the two comparative populations are essentially belong to same origin. And the F-test is utilized to estimate whether the standard deviation is significantly different or not, prior to the T-test to test the significance of the difference between the average returns.…”