Chinese Stock Markets Show Strong March and December Effects, Indicating Inefficiency
The study looked at the Chinese stock markets from 1995 to 2005 to see if there was a Monthly Effect. While Western countries often show a Monthly Effect, the Shanghai stock markets did not have a significant positive January effect. However, they did find a significant positive March effect and negative December effect in the Shanghai stock markets. This suggests that there may be inefficiencies in the Shanghai stock markets.