The Calendar Effect on A-Share Index Return in Chinese Stock Market
Abstract This study tests the presence of the day of the week effect, the monthly effect and the holiday effect on index returns by using the Shenzhen Stock Exchange A Share Index and Shanghai Stock Exchange A Share Index during the period of 2 January 1995 and 30 December 2005. The findings show t...
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| Format: | Dissertation (University of Nottingham only) |
| Language: | English |
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2006
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| Online Access: | https://eprints.nottingham.ac.uk/20547/ |