Calendar effects in chinese stock market

Annals of Economics and Finance

Volumn 6, Issue 1, 2005, Pages 75-88

  Gao, Lei ^a   Kling, Gerhard ^b  

^a HANGZHOU DIANZI UNIVERSITY   (China)

^b UTRECHT UNIVERSITY   (Netherlands)

Author keywords

Anomalies; China; Tax loss selling; Year end effect

Indexed keywords

EID: 33646774542     PISSN: 15297373     EISSN: None     Source Type: Journal    
DOI: None     Document Type: Article

References (28)

1. Alexakis, P. and Xanthakis M., 1995, Day of the week effect on the Greek stock market. Applied Financial Economics 5, 43-50.
2. Aggarwal, R., Hiraki, T., and R. P. Rao, 1990, Regularities in Tokyo stock exchange security returns: P/E, size, and seasonal influences. Journal of Financial Research 13, 249-263.
3. Agrawal, A. and K. Tandon, 1994, Anomalies or illusions? Evidence from stock markets in eighteen countries. Journal of International Money and Finance 13, 83-106.
4. Balaban, E., 1995, Day of the week effects: New evidence from an emerging market. Applied Economics Letters 2, 139-143.
5. Barone, E., 1990, The Italian stock market: Efficiency and calendar anomalies. Journal of Banking and Finance 14, 483-510.
6. Cornell, B., 1985, The weekly patterns in stock returns cash versus futures: A note. Journal of Finance 40, 583-588.
7. Dyl, E., 1977, Capital gains taxation and year-end stock market behavior.Journal of Finance 32, 165-175.
8. Dyl, E. and E.D. Maberly, 1986, The anomaly that isn’t there: A comment on Friday-the thirteenth. Journal of Finance 43, 1285-1286.
9. Fama, E.F., 1970, Efficient capital markets: A review of theory & empirical work. Journal of Finance 25, 383-417.
10. Flannery, M.J. and A.A. Protopadakis, 1988, From T-Bills to common stocks: Investigating the generality of intra-week return seasonality. Journal of Finance 43, 431-450.
11. French, K., 1980, Stock returns and the weekend effect. Journal of Financial Economics 8, 55-69.
12. Gay, G. and T. Kim, 1987, An investigation into seasonality in the futures market. Journal of Futures Market 7, 169-181.
13. Gibbons, M. and P. Hess, 1981, Day of the week effects and asset returns. Journal of Business 54, 579-596.
14. Gompers, P.A. and M. Andrew, 2001, Institutional investors and equity prices. Quarterly Journal of Economics 116, 229-259.
15. Haugen, R. and P. Jorion, 1996, The January effect: Still there after all these years. Financial Analysts Journal 52, 27-31.
16. Jaffe, J. and R. Westerfield, 1985, The week-end effect in common stock returns: The international evidence. Journal of Finance 40, 433-454.
17. Jaffe, J. and R. Westerfield, 1985, Patterns in Japanese common stock returns. Journal of Financial and Quantitative Analysis 20, 261-272.
18. Keim, D.B. and R. F. Stambaugh, 1984, A further investigation of the weekend effect in stock returns. Journal of Finance 39, 819-835.
19. Kling, G. and Gao, L., 2004, Do Chinese institutional investors act like institutional investors. Working Paper.
20. Lakonishok, J., Shleifer, A., Thaler, R., and R. Vishny, 1991, Window dressing by pension fund managers. American Economic Review 81, 227-231.
21. Lewis, M., 1989, Stock market anomalies: A re-assessment based on the U.K. evidence. Journal of Banking and Finance 13, 675-696.
22. Odean, T., 1998, Are investors reluctant to realize their losses? Journal of Finance 53, 1775-1798.
23. Officer, R.R., 1975, Seasonality in Australian capital markets: Market efficiency and empirical issues. Journal of Financial Economics 2, 29-52.
24. Rozeff, M.S. and W.R. Kinney, 1976, Capital market seasonality: The case of stock market returns. Journal of Financial Economics 3, 376-402.
25. Shefrin, H. and M. Statman, 1985, The disposition to sell winners too early and ride losers too long: Theory and evidence, Journal of Finance 40, 777-790.
26. Smirlock, M. and L. Starks, 1986, Day of the week and intraday effects in stock returns. Journal of Financial Economics 17, 197-210.
27. Solnik, B. and L. Bousquet, 1990, Day of the week effect on the Paris Bourse. Journal of Banking and Finance 14, 461-468.
28. Tinic, S.M., Barone-Adesi, G., and R.R. West, 1987, Seasonality in Canadian stock prices: A Test of the ‘Tax-Loss Selling’ Hypothesis. Journal of Financial and Quantitative Analysis 22, 51-64.