Proceedings of the 2023 International Conference on Finance, Trade and Business Management (FTBM 2023)

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An Empirical Research of Seasonality in Chinese Stock Markets

Authors
Jiaxi Sun1, *
1Business School, Southern University of Science and Technology, Shenzhen, 518055, China
*Corresponding author. Email: 12232966@mail.sustech.edu.cn
Corresponding Author
Jiaxi Sun
Available Online 30 November 2023.
DOI
10.2991/978-94-6463-298-9_59How to use a DOI?
Keywords
Seasonality; Volatility; Chinese Stock Market
Abstract

Due to the expansion of the Chinese financial market, the characteristics and influencing factors of the Chinese stock market, including seasonality, have received increasing attention from researchers. This article covers the researchers’ use of several techniques to examine the stock market’s seasonality at various temporal and geographic scales, and then investigates the seasonality in the Chinese stock market. In order to focus on relatively stable stock market data, this article selected A-share data from January 1, 2011, to December 31, 2022 in the CSMAR database. The paper firstly used descriptive statistical methods to study the relationship between monthly average return rate over the entire study period and the average return rate of all data, as well as the relationship between the monthly returns and their volatility. To study the seasonality and volatility, this paper used ARIMA(1,1,1)-GARCH(1,1) model, which has good data match. The results of running these models show that there is a monthly effect in the Chinese market caused by Lunar New Year. Chinese stock markets do not have half-year effect. These results indicate that cultural and structural factors are important in shaping the seasonality of the Chinese stock market. Even considering the associated risks and uncertainties, trading strategies regarding seasonality in the stock market may still bring attractive returns.

Copyright
© 2023 The Author(s)
Open Access
Open Access This chapter is licensed under the terms of the Creative Commons Attribution-NonCommercial 4.0 International License (http://creativecommons.org/licenses/by-nc/4.0/), which permits any noncommercial use, sharing, adaptation, distribution and reproduction in any medium or format, as long as you give appropriate credit to the original author(s) and the source, provide a link to the Creative Commons license and indicate if changes were made.

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Volume Title
Proceedings of the 2023 International Conference on Finance, Trade and Business Management (FTBM 2023)
Series
Advances in Economics, Business and Management Research
Publication Date
30 November 2023
ISBN
10.2991/978-94-6463-298-9_59
ISSN
2352-5428
DOI
10.2991/978-94-6463-298-9_59How to use a DOI?
Copyright
© 2023 The Author(s)
Open Access
Open Access This chapter is licensed under the terms of the Creative Commons Attribution-NonCommercial 4.0 International License (http://creativecommons.org/licenses/by-nc/4.0/), which permits any noncommercial use, sharing, adaptation, distribution and reproduction in any medium or format, as long as you give appropriate credit to the original author(s) and the source, provide a link to the Creative Commons license and indicate if changes were made.

Cite this article

risenwbib
TY  - CONF
AU  - Jiaxi Sun
PY  - 2023
DA  - 2023/11/30
TI  - An Empirical Research of Seasonality in Chinese Stock Markets
BT  - Proceedings of the 2023 International Conference on Finance, Trade and Business Management (FTBM 2023)
PB  - Atlantis Press
SP  - 544
EP  - 551
SN  - 2352-5428
UR  - https://doi.org/10.2991/978-94-6463-298-9_59
DO  - 10.2991/978-94-6463-298-9_59
ID  - Sun2023
ER  -