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In this paper, we examine returns in the Chinese A and B stock markets for evidence of calendar anomalies. We find that both cultural and structural (segmentation) factors play an important role in influencing the pricing of both A- and B-shares in China. There is some evidence of a February turn-of-the-year effect, partly owing to the timing of the Chinese Lunar New Year (CNY); and the holiday effect around the CNY period is stronger and more persistent compared with the other public holidays. The segmentation between the two markets is apparent in the day-of-the-week effect, where B stock markets tend to post significant negative returns on Tuesdays, corresponding with overnight developments in the United States, while significant negative returns are observed on Mondays in the A stock markets. Investment strategies based on some of these calendar anomalies, and allowing for transaction costs, suggest that the A stock markets tend to offer more economically significant returns.

Stocks -- China -- Rate of return. --- Finance --- Business & Economics --- Investment & Speculation --- Stocks --- Rate of return. --- Common shares --- Common stocks --- Equities --- Equity capital --- Equity financing --- Shares of stock --- Stock issues --- Stock offerings --- Stock trading --- Trading, Stock --- Securities --- Bonds --- Corporations --- Going public (Securities) --- Stock repurchasing --- Stockholders --- Exports and Imports --- Finance: General --- Investments: Stocks --- Portfolio Choice --- Investment Decisions --- Information and Market Efficiency --- Event Studies --- International Financial Markets --- General Financial Markets: General (includes Measurement and Data) --- Pension Funds --- Non-bank Financial Institutions --- Financial Instruments --- Institutional Investors --- Current Account Adjustment --- Short-term Capital Movements --- Investment & securities --- Stock markets --- Liquidity --- Portfolio investment --- Financial markets --- Asset and liability management --- Financial institutions --- Balance of payments --- Stock exchanges --- Economics --- Portfolio management --- United States