Seasonality in returns on the Chinese stock markets: The case of Shanghai and Shenzhen

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Abstract

This paper investigates seasonal patterns in stock returns on the Shanghai and Shenzhen stock markets. The paper documents several interesting findings. First, unlike studies for other stock markets, the highest daily returns on both exchanges occur on Thursday rather than Friday. Second, price change limits exert an effect on the observed daily pattern of returns. Third, daily stock returns appear to be positively correlated with risk. This result is at odds with the majority of findings for other stock exchanges around the world. Finally, the paper documents other differences in seasonal patterns on the two exchanges.

Original languageEnglish (US)
Pages (from-to)93-105
Number of pages13
JournalGlobal Finance Journal
Volume10
Issue number1
StatePublished - Mar 1 1999

All Science Journal Classification (ASJC) codes

  • Finance
  • Economics and Econometrics

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