CALENDAR ANOMALIES IN THE SHANGHAI STOCK EXCHANGES

Abstract

This paper examines the presence of the day of the week and pre-holiday effect as calendar anomalies evidences in the Shanghai Stock Exchange (SSE), and this presents a challenge to the ongoing theory of efficiency, also termed the Efficient Market Hypothesis (EMH). In particular, this paper aims to examine the presence of these calendar anomalies in SSE during the period from 08 October 2001 to 28 September 2012 and five sub-periods that is designed to determine persistency. The findings from the data analyses show that although the calendar anomalies do not exist in the market, it can be observed that the daily patten does appear days. This research investigated calendar anomalies related to SSE and we figured out that in some periods and in some types calendar pattern, although anomalies has been detected, they are not persistent. Hence, it cannot be claimed that Chinese Market is inefficient and one is expected to beat the market consistently

Keywords

• Efficient Market Hypothesis, Calendar Anomalies, Shanghai Stock Exchange

CALENDAR ANOMALIES IN THE SHANGHAI STOCK EXCHANGES

Abstract

Bu çalışma Haftanın Günleri Etkisi ve Tatil Öncesi Etkisi şeklinde bilinen takvimsel anomalilerin varlığını Şanghay Borsası üzerinde analiz etmektedir. Bu çalışmaının ana amacını, bahsi geçen takvimsel anomalilerin SSE’de ki varlığının 08 Ekim 2001 – 28 Eylül 2012 tarihleri arasında tespit edilmesi ve kullanılan beş alt grup ile süreklilik açısından değerlendirilmesi oluşturmaktadır. Elde edilen bulgulara göre, takvimsel anaomaliler Şanghay Borsası’ında görülmemesine karşın farklı zaman aralıklarında günlük trendler ortaya çıktığı görülmüştür. Ayrıca, SSE’de görülen takvimsel anomalilerin alt grup incelemesi yapıldığında süreklilik göstermediği ortaya çıkmıştır. Bu nedenle, gerçekleştirilen bu çalışma nazarında, Çin Piyasası’nın etkin olmadığı söylenemez. Bir başka ifadeyle, bu piyasada yatırım yapan katılımcılar, tarihsel verileri kullanarak anormal getiri elde edemezler

Keywords

• Etkin Piyasalar Hipotezi, Takvimsel Anomaliler, Şangay Borsası

References

1. Ariel, R.A. (1987). A Monthly Effect in Stock Returns. Journal of Financial Economics, 18, 161-174.
2. Arsad, Z. and Coutts, J. A. (1997). The Trading Month Anomaly in the Financial Times Industrial Ordinary Shares Index: 193 5-1994. Applied Economics Letters, 3, 297-299.
3. Aydoğan, K. (1994). Hisse Senedi Fiyatlamasında Aykırılılıklar. İşletme ve Finans Dergisi, Temmuz, 83-89
4. Balaban, E. (1995). Day of the Week Effects: New Evidence from an Emerging Stock Market. Applied Economics Letters, 2
5. Barone, E. (1990). The Italian Stock Market: Efficiency and Calendar Anomalies. Journal of Banking and Finance, 14, 483-510.
6. Chong, R., Hudson, R., Keasey, K. and Littler, K. (2005). Pre-Holiday Effects: International Evidence on the Decline and Reversal of a Stock Market Anomaly. Journal of International Money and Finance, 24(8), 1226–1236.
7. Cross, F. (1973). The Behavior of Stock Prices on Fridays and Mondays. Financial Analysts Journal, Nov- Dec. 67-69.
8. Coutts, J.A. and Sheikh, M.A. (2002). The Anomalies that aren’t There: The Weekend, January and Pre- Holiday Effects on the All Gold Index on the Johannesburg Stock Exchange 1987-1997. Applied Financial Economics, 12, pp. 863-871

9. Fama, F. Eugene (1970). Efficient Capital Markets: Review of Theory and Empirical Work. Journal of Finance, Vol.25, Issue.2
10. French, K. (1980). Stock Returns and the Weekend Effect. Journal of Financial Economics. Vol.8
11. Gibbons, M. and P. Hess (1981). Day of the Week Effects and Asset Returns. Journal of Business, 54, 579-596.
12. Jaffe, J. and WesterŞeld, R. (1985). The week-end Effect in Common Stock Returns:The International Evidence. The Journal of Finance, 40(2), 433–454.
13. Jones, S. Christopher and Pomorski, Lukasz (2002). Investing Disappering Anomalies. Available at: http://www.rotman.utoronto.ca/pomorski/anoms_new.pdf
14. Keim, D. and R. Stambaugh (1986). Predicting Returns in Stock and Bond Markets. The Journal of Financial Economics, 17, 357-390.
15. Konak, F. And Kendirli, S. (2014). Küresel Finansal Kriz Sürecinde BİST 100 Endeksi’nde Haftanın Günleri Etkisinin Analizi. Suleyman Demirel University The Journal of Faculty of Economics and Administrative Sciences, Y.2014, Vol.19, No.2, pp.275-286.
16. Marrett, G. J. and Worthington, A. C. (2009). An Empirical Note on the Holiday Effect in the Australian Stock Market, 1996–2006. Applied Economics Letters, 16(17), 1769–1772.
17. Mehdian, S. and M.J. Perry (2002). Anomalies in US Equity Markets: A Re-Examination of the January Effect. Applied Financial Economics, 12, 141-145.
18. Merrill, Arthur, (1966). The Behavior of Prices on Wall Street, The Analysis Press, Chappaqua, New York.
19. Nath, G.C. & Dalvi, M. (2004). Day-Of-The-Week Effect And Market Efficiency-Evidence From Indian Equity Market Using High Frequency Data Of National Stock Exchange. Paper Presented at The Center for Analytical Finance, Indian School of Business, Hyderabad, December, 19-21, 2004.
20. Nageswari, P., Selvan, M. ve Gayathri, J. (2011). Analysis of Monday Effect in Indian Stock Market. Research journal od Business Management, 5 (4). 170-177.
21. Ozmen, T. (1997). Dünya Borsalarında Gözlemlenen Anomaliler ve İMKB Üzerine Bir Deneme. SPK Yayınları, No: 61
22. Sattayatham, P., Sopipan, N. and Premanode, B. (2012). Forecasting the Stock Exchange of Thailand uses Day of the Week Effect and Markov Regime Switching GARCH. American Journal of Economics and Business Administration 4 (1): 84-93, 2012, ISSN 1945-5488.
23. Rodriguez, W.K. J. (2012). Day of the Week Effect in Latin American Stock Market. Revista de Analisis Economics, Vol.27, No.1, pp. 71-89.
24. Thompson, R. James, Williams, E. Edward and Findlay, M. Chapman (2003). Models for Investors in Real World Markets. Willey Series in Probability and Statistics, Chapter 5.