{
  "title": "Seasonalities in China's Stock Markets: Cultural or Structural?",
  "publication": "IMF Working Papers, January 1, 2006",
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  "summary": "In this paper, we examine returns in the Chinese A and B stock markets for evidence of calendar anomalies. We find that both cultural and structural (segmentation) factors play an important role in influencing the pricing of both A- and B-shares in China.",
  "sections": [
    {
      "heading": "Summary findings",
      "content": "- Examined returns in the Chinese A and B stock markets for evidence of calendar anomalies.\n- Both cultural and structural (segmentation) factors play an important role in influencing the pricing of both A- and B-shares in China.\n- There is some evidence of a February turn-of-the-year effect, partly owing to the timing of the Chinese Lunar New Year (CNY).\n- The holiday effect around the CNY period is stronger and more persistent compared with the other public holidays.\n- Segmentation between the two markets is apparent in the day-of-the-week effect:\n  - B stock markets tend to post significant negative returns on Tuesdays, corresponding with overnight developments in the United States.\n  - Significant negative returns are observed on Mondays in the A stock markets.\n- Investment strategies based on some of these calendar anomalies, and allowing for transaction costs, suggest that the A stock markets tend to offer more economically significant returns."
    },
    {
      "heading": "Evidence and patterns",
      "content": "- Calendar anomalies detected include:\n  - February turn-of-the-year effect (linked partly to Chinese Lunar New Year).\n  - Holiday effect concentrated and persistent around CNY.\n  - Day-of-the-week effects differing by market segmentation (A versus B shares).\n- Market segmentation interpretation:\n  - Structural segmentation aligns B-share behavior with overnight U.S. developments (negative returns on Tuesdays).\n  - A-share behavior shows a separate pattern with negative returns on Mondays."
    },
    {
      "heading": "Investment strategy implications",
      "content": "- Back-tested strategies that exploit identified calendar anomalies and incorporate transaction costs indicate:\n  - A stock markets generally provide more economically significant returns than B stock markets when anomalies are exploited.\n- Practical considerations:\n  - The timing of CNY should be considered when evaluating February and holiday-related returns.\n  - Market segmentation implies that strategies cannot be uniformly applied across A- and B-share markets without adjustment for differing calendar sensitivities."
    },
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      "heading": "Publication and metadata",
      "content": "- Authors: Jason D. Mitchell, Li L Ong\n- Publication date: January 1, 2006\n- Series: Working Paper No. 2006/004\n- Issue: 004\n- Volume: 2006\n- Pages: 46\n- DOI: https://doi.org/10.5089/9781451862645.001\n- Stock No: WPIEA2006004\n- ISBN: 9781451862645\n- ISSN: 1018-5941\n- Subject areas: Asset and liability management; Balance of payments; Financial institutions; Financial markets; Liquidity; Portfolio investment; Stock markets; Stocks\n- Keywords: A stock market vis-à-vis; A-shares; A-shares participant; abnormal returns; Asia and Pacific; B market; B stock market; B stock share market; B-shares; Chinese Lunar New Year; day-of-the-week effect; half-month effect; half-year effect; holiday effect; January effect; Liquidity; market liquidity; North America; Northern Europe; Portfolio investment; rate of return; seasonalities; share price; Shenzhen B stock share market; Stock markets; Stocks; turn-of-the-year effect; WP\n\nIMF Working Paper — Seasonalities in China's Stock Markets: Cultural or Structural?\n\n---\n\n Content in this bundle\n\n- Wp0604\n  - Wp0604 (Markdown version){rel=\"alternate\" type=\"text/markdown\"}\n  - Wp0604 (PDF){rel=\"external\" type=\"application/pdf\"}\n\n---\n\nSource: https://www.imf.org/en/publications/wp/issues/2016/12/31/seasonalities-in-china-s-stock-markets-cultural-or-structural-18720"
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    "Authors: Jason D. Mitchell, Li L Ong",
    "Published: January 1, 2006",
    "Series: IMF Working Papers",
    "DOI: https://doi.org/10.5089/9781451862645.001",
    "Examined returns in the Chinese A and B stock markets for evidence of calendar anomalies.",
    "Both cultural and structural (segmentation) factors play an important role in influencing the pricing of both A- and B-shares in China.",
    "There is some evidence of a February turn-of-the-year effect, partly owing to the timing of the Chinese Lunar New Year (CNY).",
    "The holiday effect around the CNY period is stronger and more persistent compared with the other public holidays.",
    "Segmentation between the two markets is apparent in the day-of-the-week effect:",
    "Investment strategies based on some of these calendar anomalies, and allowing for transaction costs, suggest that the A stock markets tend to offer more economically significant returns.",
    "Calendar anomalies detected include:",
    "Market segmentation interpretation:",
    "Back-tested strategies that exploit identified calendar anomalies and incorporate transaction costs indicate:",
    "Practical considerations:",
    "Authors: Jason D. Mitchell, Li L Ong",
    "Publication date: January 1, 2006",
    "Series: Working Paper No. 2006/004",
    "Issue: 004",
    "Volume: 2006",
    "Pages: 46",
    "DOI: https://doi.org/10.5089/9781451862645.001",
    "Stock No: WPIEA2006004",
    "ISBN: 9781451862645",
    "ISSN: 1018-5941",
    "Subject areas: Asset and liability management; Balance of payments; Financial institutions; Financial markets; Liquidity; Portfolio investment; Stock markets; Stocks",
    "Keywords: A stock market vis-à-vis; A-shares; A-shares participant; abnormal returns; Asia and Pacific; B market; B stock market; B stock share market; B-shares; Chinese Lunar New Year; day-of-the-week effect; half-month effect; half-year effect; holiday effect; January effect; Liquidity; market liquidity; North America; Northern Europe; Portfolio investment; rate of return; seasonalities; share price; Shenzhen B stock share market; Stock markets; Stocks; turn-of-the-year effect; WP",
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