McGuinness, Paul; Harris, Richard - In: Applied Financial Economics 21 (2011) 13, pp. 917-929
Within the context of the mainland Chinese (Shanghai and Shenzhen) and Hong Kong market places, we investigate two of the most important documented calendar anomalies: the 'turn-of-the-month' and Chinese Lunar New Year (CLNY) return effects. Both appear as features of all three markets over the...