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Contribution Details
| Type | Master's Thesis |
| Scope | Discipline-based scholarship |
| Title | Financial markets and anomalies - the calendar effects: An analysis for Chinese and Hong Kong markets |
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| Institution | University of Zurich |
| Faculty | Faculty of Business, Economics and Informatics |
| Date | 2021 |
| Abstract Text | This paper examines the presence of calendar anomalies in the Chinese and Hong Kong stock markets during the period of January 2000 and December 2019. The logarithmic daily returns are tested for evidence of the day-of-the-week effect and the month-of-the-year effect by the methods of linear regression model and EGARCH model. The findings show that the calendar effects are present in both the Chinese and Hong Kong stock markets. While the Tuesday, Thursday and February effects are observed in the Chinese stock markets, the Monday effect and positive returns in the first month of each quarter are observed in the Hong Kong stock market. Additionally, there is strong evidence of leverage effect in both the Chinese and Hong Kong stock markets. Further investigation reveals that investor sentiment can at least partly explain the calendar effects in the Chinese stock markets. |
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