Weekday seasonality of stock returns: The contrary case of China

Kód výsledku v IS VaVaI

<a href="https://www.isvavai.cz/riv?ss=detail&h=RIV%2F00216208%3A11230%2F20%3A10411132" target="_blank" >RIV/00216208:11230/20:10411132 - isvavai.cz</a>

Výsledek na webu

<a href="https://verso.is.cuni.cz/pub/verso.fpl?fname=obd_publikace_handle&handle=pZ8WNKHSiv" target="_blank" >https://verso.is.cuni.cz/pub/verso.fpl?fname=obd_publikace_handle&handle=pZ8WNKHSiv</a>

DOI - Digital Object Identifier

<a href="http://dx.doi.org/10.1016/j.asieco.2020.101201" target="_blank" >10.1016/j.asieco.2020.101201</a>

Jazyk výsledku

angličtina

Název v původním jazyce

Weekday seasonality of stock returns: The contrary case of China

Popis výsledku v původním jazyce

We document that Chinese stock returns exhibit early-in-the-week effects opposite-signed to those observed worldwide. The period of analysis is 2001-2016. Dominated by individual investors, Chinese stock markets offer unique out-of-sample insight regarding the source of weekday seasonality, ascribed elsewhere to institutional investors&apos; trading patterns. High returns to the market and to small, speculative stocks early-in-the-week pose a refuter to the mood explanation for the conventional (negative) Monday effect. A battery of tests suggests that the patterns in the Market, SMB, and RMW factors are jointly associated with Chinese individual investors whose demand is tilted towards small, speculative stocks. Our findings point to a potential role of dominant investor type in driving weekday patterns and the RMW premium.

Název v anglickém jazyce

Weekday seasonality of stock returns: The contrary case of China

Popis výsledku anglicky

We document that Chinese stock returns exhibit early-in-the-week effects opposite-signed to those observed worldwide. The period of analysis is 2001-2016. Dominated by individual investors, Chinese stock markets offer unique out-of-sample insight regarding the source of weekday seasonality, ascribed elsewhere to institutional investors&apos; trading patterns. High returns to the market and to small, speculative stocks early-in-the-week pose a refuter to the mood explanation for the conventional (negative) Monday effect. A battery of tests suggests that the patterns in the Market, SMB, and RMW factors are jointly associated with Chinese individual investors whose demand is tilted towards small, speculative stocks. Our findings point to a potential role of dominant investor type in driving weekday patterns and the RMW premium.

Druh

J_imp - Článek v periodiku v databázi Web of Science

CEP obor

—

OECD FORD obor

50201 - Economic Theory

Projekt

—

Návaznosti

I - Institucionalni podpora na dlouhodoby koncepcni rozvoj vyzkumne organizace

Rok uplatnění

2020

Kód důvěrnosti údajů

S - Úplné a pravdivé údaje o projektu nepodléhají ochraně podle zvláštních právních předpisů

Název periodika

Journal of Asian Economics

ISSN

1049-0078

e-ISSN

—

Svazek periodika

68

Číslo periodika v rámci svazku

June

Stát vydavatele periodika

NL - Nizozemsko

Počet stran výsledku

15

Strana od-do

1-15

Kód UT WoS článku

000539468000001

EID výsledku v databázi Scopus

2-s2.0-85084752825