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The first half year of the chinese stock market effect by different styles of stock market

Journal of East Asian studies Volume 11 Page 29-58
published_at 2013-03
D300011000003.pdf
[fulltext] 5.22 MB
Title
株式スタイルによる中国株式市場の上半期効果の検証
The first half year of the chinese stock market effect by different styles of stock market
Creators Jie Tian
Source Identifiers [PISSN] 1347-9415 [NCID] AA11831154
This paper is to examine the first half of the year effect in Chinese stock markets by Statistical Methods. In Chinese stock markets, the stock rate of return which was got from the first half of the year (January to June) is significantly higher than the second half of the year's(July to December).Also, the rate of return of the first half of the year is highr than the second half of the year's while the rate of return has been classified into two types which are daily rate of return on average and cumulative rate of return. The first half of the year effect is independent existence because the stock rate of return in the second half of the year is significantly above although classifying the rate of return from February to June which except January into daily rate of return on average and cu-mulative rate of return. The performance of the first half of the year is better than the second half of the year's while adjusting the scale effect of enterprises or PBR effect. And then, in order to bet-ter understand the characteristics of Chinese stock markets, we focused on industries in the stock market in China and examined the existence of the first half of the year effect. Finally, m order to make a more Convincing conclusion, We verified the differences of daily rate of return of Chinese stock markets between months in Statistics by Non-parametric method and use the fama-french3 factor model of the effect of the Chinese stock market in the first half.
Languages jpn
Resource Type journal article
Publishers 山口大学大学院東アジア研究科
Date Issued 2013-03
File Version Version of Record
Access Rights open access
Relations
[ISSN]1347-9415
[NCID]AA11831154
Schools 大学院東アジア研究科