| Summary: | 碩士 === 逢甲大學 === 財務金融學所 === 91 === In recent years, foreign enterprises and individual investors pay a lot of attention to China stock market, however, there are very few academic studies document observations regarding the issues of calendar anomalies in China. The objective of this thesis is to investigate the significance of the turn-of-the-year and the day-of-the-week effects in Shanghai A/B and Shenzhen A/B stock weighted index. To address this issue, the conventional dummy variable OLS model, the modified OLS model and the GARCH model are applied for examining the long-term extraordinary phenomenon in China during the period from 1992/1/2 to 2002/1/11.
The empirical results indicate that only Shanghai B stock index shows the day-of-the-week effects on Thursday with significant positive returns. It is found that collateral stock exchange system between A and B stocks not only cause the discrepancy between domestic and foreign investors but also generate abnormal returns for Shanghai B stock index. After permitting local investors to buy B stocks, the day-of-the-week effect in Shanghai B stock market vanished. As for the turn-of-the-year effect, Shanghai B stock shows positive returns in May. In conclusion, after applying adequate econometric procedures, the turn-of-the-year and the day-of-the-week effects are not found for most exchange indexes in China except for Shanghai B stock index.
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