Empirical Research on Week Effect of Stock Returns in China

The week effect is one of the anomalies in financial markets, which means that the returns on different trading day are different and statistically significant. Week effect includes the weekday effects on average stock returns and its volatility. This paper applies GARCH( 1,1), GARCH( 1,1)- M and EGARCH( 1,1) models to the Shanghai and Shenzhen' s stock returns. Meanwhile, time interval was made to analyze whether price limits implemented since 1996 weakens the week effects. Study finds that in China' s stock market in the corresponding sample interval,the significant week effect exists, while the specific distribution of week effects is different from each other. Moreover, the yield increases with the volatility and the leverage effect of yield volatility exists.