| Empirical Analysis of Seasonality Anomalies in Chinese Stock Market Based on Rolling Sample Tests |
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| 作者姓名： | Bing Zhang |
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| 作者单位： | School of Science and Engineering Management, Nanjing University, Nanjing 210093, China |
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| 基金项目： | This project is supported by the fund for Study on the Evolution of Complex Economic System and Behaviour Finance at Innovation Center of Economic Transition and Development of Nanjing University and Fund of State Education Ministry （105080）. |
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| 摘 要： | The paper uses rolling sample tests to investigate calendar effect in Chinese stock market, the method is very suitable for emerging market. We utilize GARCH （1,1）- GED model to identify the time varying nature of calendar effect. Friday effect existed with low volatility at the early stage, but it seems to disappear since 1997, and positive Tuesday effect began to appear then. There is small firm January effect with high volatility.
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| 关 键 词： | 日历效应 旋转测试 中国 股票市场 |
| 收稿时间： | 2005-07-12 |
Empirical Analysis of Seasonality Anomalies in Chinese Stock Market Based on Rolling Sample Tests |
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| Bing Zhang.Empirical Analysis of Seasonality Anomalies in Chinese Stock Market Based on Rolling Sample Tests[J].Journal of Sysytems Science and Information,2006,4(3):485-494. |
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| Authors: | Bing;Zhang |
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| Abstract: | |
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| Keywords: | calendar effect rolling sample tests Chinese stock market |
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