| ID | 073503 |
| Title Proper | Do calendar effects still exist in the Chinese stock markets? |
| Language | ENG |
| Author | Zhang, Bing ; Li, Xindan |
| Publication | 2006. |
| Summary / Abstract (Note) | The paper uses rolling sample tests to investigate time-varying calendar effects in the Chinese stock market, based on the GARCH (1, 1)-GED model. The Friday effect existed with low volatility at the early stage, but it seems to have disappeared since 1997. The positive Tuesday effect began to appear then. There is a small-firm January effect with high volatility. The turn-of-the month effect has also disappeared in the Chinese stock market since 1997. |
| `In' analytical Note | Journal of Chinese Econonics and Business Studies Vol. 4, No. 2; Jul 2006: p151-163 |
| Journal Source | Journal of Chinese Econonics and Business Studies Vol: 4 No 2 |
| Key Words | China ; Stock Market |