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2010•Unpublished venueRequires access

Empirical study on the day-of-the-week effect in China stock markets

Xiaguo Zhong, Shan Xia, Weili Xia

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Abstract

This paper shows that the day-of-the-week exists in China stock markets by using the data in 2005–2009 periods, and the results show that the positive returns are on Monday, Wednesday and Friday, and the negative returns are on Tuesday and Thursday, which is totally different with the Dow Jones Index in America. The difference between China stock markets and America stock market may be related with spillover effect. And the day-of-the-week effect in china may be due to the settlement procedure and spillover from the America.

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What this paper is about

This paper shows that the day-of-the-week exists in China stock markets by using the data in 2005–2009 periods, and the results show that the positive returns are on Monday, Wednesday and Friday, and the negative returns are on Tuesday and Thursday, which is totally different with the Dow Jones Index in America. The difference between China stock markets and America stock market may be related with spillover effect. And the day-of-the-week effect in china may be due to the settlement procedure and spillover from the America.

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Available abstract

This paper shows that the day-of-the-week exists in China stock markets by using the data in 2005–2009 periods, and the results show that the positive returns are on Monday, Wednesday and Friday, and the negative returns are on Tuesday and Thursday, which is totally different with the Dow Jones Index in America. The difference between China stock markets and America stock market may be related with spillover effect. And the day-of-the-week effect in china may be due to the settlement procedure and spillover from the America.

Key concepts: Thursday, Names of the days of the week, Stock (firearms), China, Spillover effect, Stock market, Economics, Financial economics

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