An Empirical Study On The Stock Return Seasonal Effect In Security Market

Recent twenty years, the researches on security market return anomalies have been an important part of the researches on market efficiency, and many behavioral finance researchers try to explain these. The return seasonal effect is one of the most important anomalies. The return seasonal effect means the abnormal return related with season in the stock market. As it acts against the efficient market hypothesis, the investors and managers in financial markets have paid attention to the return seasonal effect. According to the calendar or the length of time, the return seasonal effect includes weekend effect, monthly effect, holiday effect, and so on. We want to study the efficiency of Chinese stock markets from the point of its seasonal movement. Chinese stock markets is an emerging market, and has its particularity and independency, so there are potential differences between the seasonal movement of Chinese stock markets and that of other countries. Even if the seasonal movement of Chinese stock markets is the same to that of other countries, it helps us to further understand the cause to the return seasonal effect.The weekend effect, monthly effect and holiday effect in Shanghai A-share, B-share stock market and Shenzhen A-share, B-share stock market are studied with standard econometric methods in these thesis. Results from empirical analysis indicate that the weekend effect, monthly effect and holiday effect exist in Chinese stock markets. There are higher average stock returns on Friday and lower average stock returns on Tuesday. There are higher average stock returns in February or March and lower average stock returns in December in A-share stock market. There are higher average stock returns in February or March and lower average stock returns in June or July in B-share stock market. There also are higher average stock returns on "pre-holiday". Lastly, policy recommendations are also provided based on empirical study.