Market Efficiency at the Hongkong Stock Exchange
Others showed that profits from ORH are not significant if return calculations are adjusted for the following factors:
Seasonality (Brown and Harlow, 1988; Zarowin, 1989; Pettengill and Jordan, 1990)
Time frame used for return calculations (Ball, Kothari, and Wasley, 1995)
Firm size effects (Zarowin, 1990)
Use of bid instead of ask prices to calculate returns (Ball et al., 1995), and
Risk change (Chan, 1988).
One anomaly cited as proof of market inefficiency is the so-called January effect that can be stated simply as "stock prices tend to go up in January" (Gultekin and Gultekin, 1983... A Study of Market Efficiency and Overreaction at the Hongkong Stock Exchange from 1997-2007 Introduction...