Analyzing Calendar Anomalies in the Chinese Stock Market

Qiushi Yu

Master's thesis

Abstract:

In this thesis, we will study one of the anomalies called calendar anomalies in Chinese stock market. The calendar anomalies or calendar effect are driven by the idea that the change of stock price and trading volume are connected with weeks, months, seasons and holidays. Generally, there are two main effects of calendar anomalies - month-of-the-year effect and day-of-the-week effect. January effect is one of the month-of-the-year effects, and weekend effect is one of the day-of-the-week effects. The goal of this thesis is to examine the presence of day-of-the-week effect and month-of-the-year effect in Chinese stock market. More specifically, we want to know whether some famous calendar effects which are confirmed by other studies in most countries like Monday effect and January effect can be also found in Chinese stock market or Chinese stock market has its own unique calendar effect. We will conduct the analysis based on the data of Shanghai Stock Exchange Index from 2010-2020. We will use GARCH regression model to test our data. This thesis will be divided into five parts. The first part is basic introduction about the aims of the thesis. In second chapter, we will introduce the behavioral finance and some main calendar anomalies. Then we will introduce the methodology of regression analysis and GARCH model that we will employ in the third chapter. |In forth chapter, we will assess our data and study whether the month-of-the-year effect and day-of-the-week effect exist in Chinese stock markets or not. The final chapter concludes.

Abstract:

In this thesis, we will study one of the anomalies called calendar anomalies in Chinese stock market. The calendar anomalies or calendar effect are driven by the idea that the change of stock price and trading volume are connected with weeks, months, seasons and holidays. Generally, there are two main effects of calendar anomalies - month-of-the-year effect and day-of-the-week effect. January effect is one of the month-of-the-year effects, and weekend effect is one of the day-of-the-week effects. The goal of this thesis is to examine the presence of day-of-the-week effect and month-of-the-year effect in Chinese stock market. More specifically, we want to know whether some famous calendar effects which are confirmed by other studies in most countries like Monday effect and January effect can be also found in Chinese stock market or Chinese stock market has its own unique calendar effect. We will conduct the analysis based on the data of Shanghai Stock Exchange Index from 2010-2020. We will use GARCH regression model to test our data. This thesis will be divided into five parts. The first part is basic introduction about the aims of the thesis. In second chapter, we will introduce the behavioral finance and some main calendar anomalies. Then we will introduce the methodology of regression analysis and GARCH model that we will employ in the third chapter. |In forth chapter, we will assess our data and study whether the month-of-the-year effect and day-of-the-week effect exist in Chinese stock markets or not. The final chapter concludes.

Keywords

behavioral finance, calendar anomalies, GARCH model

Keywords

behavioral finance, calendar anomalies, GARCH model

Language used: English

Date on which the thesis was submitted / produced: 23. 4. 2021

Thesis defence

• Date of defence: 25. 5. 2021
• Supervisor: Aleš Melecký
• Reader: Martina Novotná

VSB – Technical University of Ostrava

Ekonomická fakulta

Master programme:
Finance