The Calendar Effect on A-Share Index Return in Chinese Stock Market

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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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Bibliographic Details
Main Author:	Cao, Qi
Format:	Dissertation (University of Nottingham only)
Language:	English
Published:	2006
Subjects:	Calendar Effect
Online Access:	https://eprints.nottingham.ac.uk/20547/

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