Empirical Study of Based-modified GARCH Model for Day of Week Effect in Stock Market of China

By using the data of total sample interval(1996~2009) of Shanghai Stock Exchange Composite Index and Shenzhen Stock Exchange Component Index and using the implementation of the system of qualified foreign investors as the cut-off point to divide the total sample interval into two successive intervals(1996~2002 and 2002~2009),the characteristics of the day-of-the week effect in the stock market of China in the three sample intervals is studied based on modified GARCH model respectively.Results of study demonstrate that,1) the day-of-the week effects of China's stock market returns and those of volatility exist in different sample intervals;2) the day-of-the week effects of different sample intervals show the variance,the day-of-the week effects of China's stock market returns and volatility are more significant for the the former sub-sample interval.