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Determinants of holiday effects in mainland Chinese and Hong-Kong markets

Lookup NU author(s): Dr Fabrizio Casalin

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This work is licensed under a Creative Commons Attribution-NonCommercial-NoDerivatives 4.0 International License (CC BY-NC-ND).


Abstract

The joint analysis of the Chinese and Hong-Kong markets enables to investigate whether differences in the attributes of shares, as well as in institutional features of markets can generate different holiday effects. The analysis is carried out by comparing the Shanghai, Shenzhen and Hong-Kong indices of domestic and cross-listed Chinese shares. Empirical results show that holiday effects are positive, significant, time-varying, with no sign of decline over time and strongly dependent on market-specific institutional practices, with a negligible role played by the attributes of shares. We then carry out the same analysis by using an alternative metric based on trading rules profitability and obtain very similar results.


Publication metadata

Author(s): Casalin F

Publication type: Article

Publication status: Published

Journal: China Economic Review

Year: 2018

Volume: 49

Pages: 45-67

Print publication date: 01/06/2018

Online publication date: 21/12/2017

Acceptance date: 18/12/2017

Date deposited: 18/12/2017

ISSN (print): 1043-951X

ISSN (electronic): 1873-7781

Publisher: Elsevier

URL: https://doi.org/10.1016/j.chieco.2017.12.011

DOI: 10.1016/j.chieco.2017.12.011


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