Su, RDutta, AXu, MMa, J2011-06-132011-06-1320112011International Journal of Economics and Finance, vol.3(2), pp.74 - 861916-9728https://hdl.handle.net/10292/1310The 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.Made available under the terms of the Creative Commons Attribution 3.0 license available from http://creativecommons.org/licenses/by/3.0/Financial anomaliesChinese A-shareMarch EffectJanuary EffectJournal ArticleOpenAccesshttp://dx.doi.org/10.5539/ijef.v3n2p74