Calendar effects in Chinese stock market

Lei Gao, Gerhard Kling

Research output: Contribution to journalArticlepeer-review

47 Citations (Scopus)


Our paper examines calendar effects in Chinese stock market, particularly monthly and daily effects. Using individual stock returns, we observe the change of the calendar effect over time. In Shanghai and Shenzhen, the year-end effect was strong in 1991 - but disappeared later. As the Chinese year-end is in February, the highest returns can be achieved in March and April. Studying daily effects, we found that Fridays are profitable. Chinese investors are "amateur speculator" who often embezzles business fund for private trading; thus, these funds are used for short-term speculations before they are paid back prior to weekends.
Original languageEnglish
Pages (from-to)75-88
Number of pages14
JournalAnnals of Economics and Finance
Issue number1
Publication statusPublished - Jun 2005


  • year end effect
  • China
  • anomalies
  • tax loss selling


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