Seasonality tests on the Shanghai and Shenzhen stock exchanges

An empirical analysis

Asli K. Ogunc, Srinivas Nippani, Kenneth M. Washer

Research output: Contribution to journalArticle

3 Citations (Scopus)

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.

Original languageEnglish
Pages (from-to)681-692
Number of pages12
JournalApplied Financial Economics
Volume19
Issue number9
DOIs
StatePublished - 2009

Fingerprint

Empirical analysis
Shenzhen
Seasonality
Stock exchange
Shanghai
January effect
Chinese stock market
Day of the week effect
Stock market
Weekend effect

All Science Journal Classification (ASJC) codes

  • Economics and Econometrics
  • Finance

Cite this

Seasonality tests on the Shanghai and Shenzhen stock exchanges : An empirical analysis. / Ogunc, Asli K.; Nippani, Srinivas; Washer, Kenneth M.

In: Applied Financial Economics, Vol. 19, No. 9, 2009, p. 681-692.

Research output: Contribution to journalArticle

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