Jaw-Kai Wang is currently a Lecturer in Management at the School of Management, University of Southampton. His particular interest is in the role of social networks and the knowledge-transfer mechanism.

Udechukwu Udi Ojiako is an Associate Professor of Project Management at the University of the Witwatersrand, South Africa. He received his PhD in Project Management from the University of Northumbria, Newcastle in as a BT sponsored research student.

Calendar effects of the Chinese stock markets: International Journal of Business and Emerging Markets: Vol 5, No 1

Ling Wang is a research student at the School of Management, University of Southampton. Drawing upon extant literature on the impact of calendar effects daily effect and monthly effect on the stock markets, the authors employ regression analysis to test the relationship between mean daily returns of trading days and mean returns of the remaining trading days of the week in effect, calendar effects , on the Chinese stock markets.

The study employs observations drawn from the Shanghai and Shenzhen composite stock indices between January and December Based on the analysis of the regression results, we find the following. For the tests and results of the day of the week effect, in the Shanghai stock market, there is significantly positive Monday effect and significantly negative Thursday effect. On the other hand, we find a weak Monday effect and Thursday effect in the Shenzhen stock market.

For monthly effect, summary statistics of monthly equity returns for both stock markets show the findings of the February effect in China are similar to the January effect in countries where year-end is in December. Inderscience Publishers Subscribe Authors Librarians. Jaw-Kai Wang Related information School of Management, University of Southampton, Southampton SO17 1BJ, UK. Faculty of Engineering and the Built Environment, University of the Witwatersrand, Johannesburg , South Africa.

School of Management, University of Southampton, Southampton SO17 1BJ, UK. Abstract Full Text References PDF Abstract. Keywords China , calendar effect , stock returns. International Journal of Business and Emerging Markets International Journal of Business and Emerging Markets.

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