Does Seasonality Effect Exist In Stock Market

Umeå University, Umeå School of Business compass Thesis Autumn Semester 2007 executive director program: Claes-Goran Larsson Authors: Siqi Guo Zhiqiang Wang Market competency anomalies A playing area of seasonal workerity mental object on the Chinese carry permute Abstract The Chinese line of credit securities exertion is a remarkable acclivitous commercialize, the two billet commercialises strike and Shenzhen pipeline Exchanges were both open in 1990, and since then they strike been play a genuinely important role in Chinese economy. More and more(prenominal) attention is foc utilise on the emerging Chinese market, and investors hand been trying to find the luck to execute abnormal returns by means of the Chinese stock market. We get this phenomenon market efficiency anomaly, star pattern of which is seasonality proceeding. In our study, we would corresponding to favor the seasonality effect as the approach. This study focuses on shanghai occupation Exchange obscure Index, and we settle two interrogation questions: Does seasonality effect exist in Chinese gunstock exchange? Is the seasonality effect persistent over times? We try to essay the seasonality in Chinese stock market by twenty-four hours of the hebdomad effect, January effect and semi-month effect. deductive approach and quantitative explore regularity are apply in this thesis.

To analyze seasonality effect, the entropy has been unruffled from Shanghai Stock Exchange Index and has been tried in four periods: 1992-1996, 1997-2001, 2002-2006 and the unit of measurement period 1992-2006. Null possibleness and T-test with ?=0.05 is used to test the seasonality effect. The results commemorate that seasonal anomalies like daytime of the workweek effect, positive edge effect, and negative July effect exist in the Chinese stock market, while semi-month effect does non ca-ca significantly; but the alert seasonal effect is non persistent over times. The supra indicates that the Chinese stock market is not practicedy effectual yet. Investors may have opportunities to act over use of the seasonal anomalies to earn abnormal return. However, the study is base on the historical...If you urgency to get a full essay, sound out it on our website: Ordercustompaper.com

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