One Country, Two Calendars: An Examination of China's A-Share Stock Market
61 Pages Posted: 18 Feb 2022
In this paper, we examine the January effect in China’s A-share stock market from January 1995 to December 2019 using both the solar and lunar calendars. We find consistent with the existing literature the absence of a traditional January effect in the solar calendar; however, we observe a strong January effect in the lunar calendar. The effect is much stronger in small firms. We demonstrate that the tax-loss selling and window dressing hypotheses cannot explain the turn-of-the-year effect in China. Our results show that Chinese financial markets are more closely aligned with the traditional lunar calendar.
Keywords: January effect, Chinese lunar calendar, China's A-share market, Turn-of-the-year effect
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