Lookup NU author(s): Dr Fabrizio Casalin
This work is licensed under a Creative Commons Attribution-NonCommercial-NoDerivatives 4.0 International License (CC BY-NC-ND).
The joint analysis of the Chinese and Hong-Kong markets enables to investigate whether differences in the attributes of shares, as well as in institutional features of markets can generate different holiday effects. The analysis is carried out by comparing the Shanghai, Shenzhen and Hong-Kong indices of domestic and cross-listed Chinese shares. Empirical results show that holiday effects are positive, significant, time-varying, with no sign of decline over time and strongly dependent on market-specific institutional practices, with a negligible role played by the attributes of shares. We then carry out the same analysis by using an alternative metric based on trading rules profitability and obtain very similar results.
Author(s): Casalin F
Publication type: Article
Publication status: Published
Journal: China Economic Review
Print publication date: 01/06/2018
Online publication date: 21/12/2017
Acceptance date: 18/12/2017
Date deposited: 18/12/2017
ISSN (print): 1043-951X
ISSN (electronic): 1873-7781
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