Financial Anomalies: Examination of Chinese B‐share Markets from 1993 to 2006

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Roger Su Ying Zhao Hedy Jiaying Huang


This study investigates the financial anomalies on the Chinese
Shanghai B‐share (SHB) and Shenzhen B‐share (SZB) markets from
1993 to 2006 by using value‐weighted data and equal‐weighted data.
Before February 2001, the B‐shares could be traded by only foreign
investors. However, in February 2001, the Chinese investors were
allowed to invest in the B‐share market. When both unadjusted valueweighted
data and unadjusted equal‐weighted data are used, the study
reveals there is the March effect after February 2001 in both SHB and
SZB markets; however, there is no evidence of the March effect from
the adjusted value‐weighted and adjusted equal‐weighted data for the
same period. Our study shows that the high March market return was
attributable to an unusual return in March 2001 which can be explained
by the influx of funds due to the opening of the B‐share markets to
domestic investors. Thus, we do not find clear evidence of seasonality
in the Chinese B‐share markets. Nevertheless, the analysis on the
adjusted equal‐weighted data finds a size effect in the Shenzhen Bshare
market – the smallest‐size group shows a significant January
effect in the period from 2001 to 2006; which supports Reiganum (1983)
that the January effect is largely a small capitalization phenomenon.
Our findings may influence the investment behaviour of overseas
Keywords: Chinese B‐share Market, Efficient Market, Seasonalities,
Financial Anomalies


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How to Cite
SU, Roger; ZHAO, Ying; HUANG, Hedy Jiaying. Financial Anomalies: Examination of Chinese B‐share Markets from 1993 to 2006. AJBA, [S.l.], v. 4, n. 2, may 2017. ISSN 2180-3137. Available at: <>. Date accessed: 23 july 2019.