Seasonality Effects through ARCH and GARCH Model: Evidence from Shanghai Stock Market (China)

28 Pages Posted: 24 Aug 2016

See all articles by Rizwan Ahmed

Rizwan Ahmed

Hull University Business School (HUBS)

Jingsi Leng

Hull University Business School (HUBS)

Date Written: August 21, 2016

Abstract

The paper examines three seasonal effects from Shanghai Stock market China: the weekend effect, turn of the month and holiday effect. The evidences of weekend effect observed on Friday along with seasonality effect on alternate days of the week. In terms of monthly effect, we have found February anomaly in place of January which contradicts the theory of Tax-Loss selling hypothesis. Moreover, last quarter of the year showing positive healthy returns. However, the study could not find any trend of returns on holiday effects. The ARCH and GARCH model of all three seasonality effects showing significant results. Based on overall outcomes, the Shanghai Stock market is considered as inefficient weak form of market efficiency.

Keywords: Seasonality; Anomaly; Efficiency

Suggested Citation

Ahmed, Rizwan and Leng, Jingsi, Seasonality Effects through ARCH and GARCH Model: Evidence from Shanghai Stock Market (China) (August 21, 2016). Available at SSRN: https://ssrn.com/abstract=2827254 or http://dx.doi.org/10.2139/ssrn.2827254

Rizwan Ahmed (Contact Author)

Hull University Business School (HUBS) ( email )

Hull, HU6 7RX
United Kingdom

Jingsi Leng

Hull University Business School (HUBS) ( email )

Hull, HU6 7RX
United Kingdom

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