Gao, Lei; Kling, Gerhard - In: Annals of Economics and Finance 6 (2005) 1, pp. 75-88
Our paper examines calendar effects in Chinese stock market, particularly monthly and daily effects. Using individual stock returns, we observe the change of the calendar effect over time. In Shanghai and Shenzhen, the year-end effect was strong in 1991 -- but disappeared later. As the Chinese...