Holiday Effects in the Chinese Stock Market
Various holiday effects are well documented for developed countries’ stock markets, typically showing abnormal returns around thanksgiving, Christmas, New Year, and Easter. Do similar effects exist in the Chinese stock market? In this post I’ll take a look at returns…
Day of the Month Seasonality Part 3: Nikkei 225, Hang Seng, STI
This is the third and final post investigating day of the month seasonality effects in global equity market indices. In part 1 we looked at U.S. indices; in part 2 we saw that the effects were even more powerful in three major…
Day of the Month Seasonality Part 2: DAX, CAC 40, FTSE 100
In part 1 of the series I showed the impressive predictive power of day of the month seasonality effects in US equity markets. In this post I will apply the same type of analysis to three European markets: Germany (using the…
Day of the Month Seasonality Part 1: S&P 500, NASDAQ Composite, Russell 2000
My first post is inspired by the recent day of the month seasonality posts over at MarketSci (one, two). In this post I will show how day of the month seasonality applies to the S&P 500 as well as two…
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