Seasonally Anomalous or Not? Tests of Seasonalities
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the negative first order correlation of daily returns reported in Table 5.3. We
attribute this cycle to the one-day settlement procedure: if you buy with all your
capital today, vou cannot buy tomorrow instead of selling tomorrow or on the
6.3 Month-of-the-year effect tests for the Shanghai and Shenzhen markets
Many empirical studies have proclaimed that there are regular return patterns
according to the month of the year, so that these month-of-the-year effects are
significant in most of the markets of the world. Likewise, the month-of-the-year
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