THE EMPIRICAL ANALYSIS OF JANUARY EFFECT IN SHANGHAI SECURITIES EXCHANGE
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ABSTRACT
This dissertation aims to exam the existence of January effect in Shanghai Securities Exchange. There are two ways employed: compare former January average return with the rest months’, and use hypothesis to test significant difference each other. Researcher adopts methodology such as independent sample t-test, one sample t-test, linear regression hypothesis and Mann-Whitney to analysis the significant level of January effect, and finds that there is no evidence can be provided to prove the existence of January effect in SHSE, although previous researchers strongly agree with the existence of this anomaly in other countries’ stock market. Besides concluding disappearance of January effect, researcher finds another anomaly, March effect. Employing the same methods with testing January effect, researcher concludes the evidence of March effect, which were not described by previous studies about SHSE. The anomaly may be caused by some reasons; researcher considers the different trading behavior and particular economy system are main factors to affect this anomaly.
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B. A. (Hons) In Finance
Number: 4