Financial Anomalies: Evidence from Chinese A-share Markets

Roger Su, Amitabh Dutta, Mingwei Xu, Jun Ma

Abstract


The analysis of broad samples of equal-weighted and value-weighted returns of the Chinese security markets documents that abnormally high rates of return on small-capitalization stocks are to be observed during the month of March on both Shanghai and Shenzhen A-share markets. Different to the international experience of the January effect, the March effect can be seen as the turn-of-the-year effect in the Chinese security market as the national economic background and cultural background delay the turn-of-the-year from February to March.


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International Journal of Economics and Finance  ISSN  1916-971X (Print) ISSN  1916-9728 (Online)

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