Frequency and Trend of Abnormal Returns in Chinese Energy Stock Market
Abstract
This study examines abnormal returns in China’s new and traditional energy sectors from 2015 to 2022, using multiple hypothesis testing to track daily frequencies of positive and negative signals. Results show annual shifts in signal patterns, with transient spikes during key events and a general decline over time. Event study analysis reveals that significant cumulative abnormal returns (CARs) occur when daily signals are predominantly positive or negative, while balanced signals yield fewer significant CARs. Although annual trends in signal counts are synchronized between sectors, daily patterns sometimes diverge, offering deeper insight into abnormal returns in evolving energy markets.
Fields of Study & Subjects
Financial Markets and Investment Strategies
Stock Market Forecasting Methods
Financial Analysis and Corporate Governance
Publication details
- Journal / source
- Emerging Markets Finance and Trade
- Volume
- 62
- Issue
- 12
- Pages
- 4677–4692
- Publication date
- 9 February 2026
- Language
- EN