Financial anomalies: evidence from Chinese stock markets
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Ma, Jun
Supervisor
Ting, Yang
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Auckland University of Technology
Abstract
The analysis of broad samples of equal-weighted and value-weighted returns of the Chinese security markets documents that abnormally high rates of return on small-capitalization stocks are to be observed during the month of March on both A-share markets. Contrary to the international experience of the January effect, the March effect can be seen as the turn-of-the-year effect in the Chinese security market as the national economic background and cultural background delay the turn-of-the-year from February to March.