Abstract
The paper examines three seasonal effects from Shanghai Stock market China: the weekend effect, turn of the month and holiday effect. The evidences of weekend effect observed on Friday along with seasonality effect on alternate days of the week. In terms of monthly effect, we have found February anomaly in place of January which contradicts the theory of Tax-Loss selling hypothesis. Moreover, last quarter of the year showing positive healthy returns. However, the study could not find any trend of returns on holiday effects. The ARCH and GARCH model of all three seasonality effects showing significant results. Based on overall outcomes, the Shanghai Stock market is considered as inefficient weak form of market efficiency.
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