The Day of the Week Effect in Chinese Stock Market

• 발행기관: 한국유통과학회
• 저자명: Xing Lu Han Gao
• 간행물 정보: 『The Journal of Asian Finance, Economics and Business(JAFEB)』Vol. 3 No.3, 17~26쪽, 전체 10쪽
• 주제분류: 경제경영 > 경제학
• 파일형태: PDF
• 발행일자: 2016.08.31

영문 초록

This study investigates daily stock market anomalies in Chinese stock market, using nine most representative stock indices over an eleven year time period spanning from pre-financial crisis era to six years into the financial crisis. This research is the first to test the presence of the day of the week effect on stock returns in the Chinese stock exchanges during the financial crisis. We find that the day of week effects have been strongly significant in Chinese stock exchanges since 2004. However, unlike the previously found negative Monday effect and positive Friday effect in the U.S., Chinese stock market shows positive returns on Mondays and negative returns on Tuesdays. More importantly, the negative Tuesday effect is only significant after the inception of financial crisis. The results indicate a positive effect on Mondays and a negative effect on Thursdays. More importantly, we find a negative Tuesday effect during the financial crisis, which suggests a spillover of the Monday effect form the U.S. stock market. Our results shed some light on the degree of market efficiency in the largest emerging capital market in the world, and its increasingly close relationship with the U.S. capital market.

목차

1. Introduction

2. Data and Methodology

3. Testing Holiday Effects

4. Discussion and Summary

References

키워드

Day of the week effect Monday Effect Weekend Effect Chinese Stock Market Financial Crisis