Financial anomalies: evidence from Chinese A-share Markets
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Su, R
Dutta, A
Xu, M
Ma, J
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Canadian Center of Science and Education
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 Shanghai and Shenzhen A-share markets. Different 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.
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Financial anomalies, Chinese A-share, March Effect, January Effect
Source
International Journal of Economics and Finance, vol.3(2), pp.74 - 86
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Made available under the terms of the Creative Commons Attribution 3.0 license available from http://creativecommons.org/licenses/by/3.0/