Financial anomalies: examination of Chinese B?share markets from 1993 to 2006

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 value-weighted data and unadjusted equal?weighted data are used, the study reveals there is the March effect after February 2001 in both SHB and SZB marketswhich supports Reiganum (1983) that the January effect is largely a small capitalization phenomenon. Our findings may influence the investment behaviour of overseas investors