One Country, Two Calendars: An Examination of China's A-Share Stock Market

61 Pages Posted: 18 Feb 2022

See all articles by Xiaobo Liang

Xiaobo Liang

University of Hawaii at Manoa, Shidler College of Business, Students

Qianqiu Liu

University of Hawaii at Manoa - Shidler College of Business

Allan A. Zebedee

Clarkson University

Abstract

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

Suggested Citation

Liang, Xiaobo and Liu, Qianqiu and Zebedee, Allan A., One Country, Two Calendars: An Examination of China's A-Share Stock Market. Available at SSRN: https://ssrn.com/abstract=4038196 or http://dx.doi.org/10.2139/ssrn.4038196

Xiaobo Liang

University of Hawaii at Manoa, Shidler College of Business, Students ( email )

2404 Maile Way
Honolulu, HI 96822
United States

Qianqiu Liu (Contact Author)

University of Hawaii at Manoa - Shidler College of Business ( email )

2404 Maile Way, E602f
Honolulu, HI 96822
United States
808-956-8736 (Phone)
808-956-9887 (Fax)

Allan A. Zebedee

Clarkson University ( email )

Potsdam, NY 13699-5780
United States
315.268.3890 (Phone)

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