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The Efficiency o f China’s Stock Market
According to the EMH, if there were a regular return pattern, the investors
would quickly move to exploit this pattern, whereafter the pattern would not be
present. However, the regular seasonal return patterns have persisted widely in
stock markets. To explain the existence of anomalies, several hypotheses have
been put forward in previous studies. For example, the time zone hypothesis, the
closed-market hypothesis, the settlement procedure hypothesis, the tax-loss-selling
pressure hypothesis, the institutional trading hypothesis and so forth. Nonetheless,
there ...