Empirical Analysis of Seasonality Anomalies in Chinese Stock Market Based on Rolling Sample Tests  

作　　者：Bing Zhang 

机构地区：[1]School of Science and Engineering Management, Nanjing University, Nanjing 210093, China

出　　处：《Journal of Systems Science and Information》2006年第3期485-494,共10页系统科学与信息学报（英文）

摘　　要：The paper uses rolling sample tests to investigate calendar effect in Chinese stock market, the method is very suitable for emerging market. We utilize GARCH （1,1）- GED model to identify the time varying nature of calendar effect. Friday effect existed with low volatility at the early stage, but it seems to disappear since 1997, and positive Tuesday effect began to appear then. There is small firm January effect with high volatility.

关 键 词：calendar effect rolling sample tests Chinese stock market 

分 类 号：F832.51[经济管理—金融学]