International Journal of Social Science & Economic Research
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Title:
ARE THERE SEASONAL ANOMALIES IN A-SHARES?

Authors:
Gengyuan Liu and Xuelin Ma

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Gengyuan Liu and Xuelin Ma
Peking University, Guanghua School of Management Fujian Agriculture and Forestry University, School of Economics and Management

MLA 8
Liu, Gengyuan, and Xuelin Ma. "ARE THERE SEASONAL ANOMALIES IN A-SHARES?" Int. j. of Social Science and Economic Research, vol. 7, no. 5, May 2022, pp. 1248-1258, doi.org/10.46609/IJSSER.2022.v07i05.007. Accessed May 2022.
APA 6
Liu, G., & Ma, X. (2022, May). ARE THERE SEASONAL ANOMALIES IN A-SHARES? Int. j. of Social Science and Economic Research, 7(5), 1248-1258. Retrieved from doi.org/10.46609/IJSSER.2022.v07i05.007
Chicago
Liu, Gengyuan, and Xuelin Ma. "ARE THERE SEASONAL ANOMALIES IN A-SHARES?" Int. j. of Social Science and Economic Research 7, no. 5 (May 2022), 1248-1258. Accessed May, 2022. doi.org/10.46609/IJSSER.2022.v07i05.007.

References

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ABSTRACT:
In this paper, the existence of cross-section seasonal anomalies was empirically tested by portfolio analysis and Fama-MacBeth regression. The results of the empirical analysis indicated that stocks that performed relatively well in the same calendar month in the past had significantly higher returns than other stocks in that future calendar month. This statistically significant correlation holds over a 10-year interval. Bull and Bear portfolios based on this market anomaly can achieve excess returns of over 70 basis points and this return is not fully explained by the common risk factors.

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