Author(s)

Xueying Pan

Corresponding Author

Xueying Pan

ABSTRACT

In order to study the monthly effects and volatility asymmetry of Chinese stock market, this paper tests the Shanghai Securities Composite Index data from 2001 to 2020 with rolling sample test method based on the EGARCH model. The results show that there are significant positive January effect and negative April effect in Chinese stock market since 2001, and the effects in these two months extend to the following one or two months. There is also volatility asymmetry in Chinese stock market, which generally reflects the phenomenon of leverage effect, but in the period of stock market reform that in 2005 and 2013, it shows as the counter-leverage effect. The results also capture the impact of major events such as the financial crisis in 2008, the stock market crash in 2015 and the stock market reforms.

KEYWORDS

Monthly Effect, Volatility Asymmetry, EGARCH, Rolling Sample Test