Does Seasonality Effect Exist In Stock Market

Umeå University, Umeå School of Business Master Thesis Autumn Semester 2007 executive director program: Claes-Goran Larsson Authors: Siqi Guo Zhiqiang Wang Market efficiency anomalies A poll of seasonality content on the Chinese stock exchange Abstract The Chinese stock securities industry is a remarkable uphill commercialize, the devil stock food markets Shanghai and Shenzhen pipeline alternates were both established in 1990, and since then they have been play a very fundamental role in Chinese economy. More and more care is foc utilise on the emerging Chinese market, and investors have been seek to find the opportunity to execute abnormal returns through the Chinese stock market. We name this phenomenon market efficiency anomaly, one archetype of which is seasonality proceeding. In our study, we would like to favor the seasonality effect as the start out. This study focuses on Shanghai occupation Exchange Composite Index, and we get to back two re search questions: Does seasonality effect exist in Chinese Stock exchange? Is the seasonality effect persistent over propagation? We try to test the seasonality in Chinese stock market by day of the hebdomad effect, January effect and semi-month effect. Deductive approach and quantitative research regularity are used in this thesis.

To analyze seasonality effect, the data has been unruffled from Shanghai Stock Exchange Index and has been tested in four flow rates: 1992-1996, 1997-2001, 2002-2006 and the whole period 1992-2006. Null hypothesis and T-test with ?=0.05 is used to test the seasonality effect. The results show that seasonal anomalies like Day of the workweek effect, positive March effect, and negatively charged July ! effect exist in the Chinese stock market, time semi-month effect does non clear significantly; but the existing seasonal effect is not persistent over times. The above indicates that the Chinese stock market is not fully efficient yet. Investors may have opportunities to move over use of the seasonal anomalies to name abnormal return. However, the study is base on the historical...If you want to get a full essay, sound out it on our website: OrderEssay.net

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