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The Efficiency of China's Stock Market
book

The Efficiency of China's Stock Market

by Shiguang Ma
November 2017
Intermediate to advanced content levelIntermediate to advanced
302 pages
16h 35m
English
Routledge
Content preview from The Efficiency of China's Stock Market
Seasonally Anomalous or Not? Tests o f Seasonalities
157
returns on pre-holiday trading days, and the mean returns on pre-holiday trading
days are larger than the mean returns on non-holiday trading days.
Does this type of holiday effects exist only on one day immediately before and
after holidays, or on more than one day before and after holidays? Using the same
basic methodology, the test of holiday effects is extended to three trading days
preceding holidays and four trading days succeeding holidays. It can be seen from
Table 6.10, for the Shanghai market, that there are no apparent differences between
the holiday effect ...
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Publisher Resources

ISBN: 9781351146913