The-day-of-the-week Effect on Return and Volatility in Shanghai Stock Market

This paper studies the-day-of-the-week effect on Shanghai stock market by using the composite index during the period from May 21, 1992 to June 21, 2002. The empirical research was conducted by using the AR(m)-GARCH model. Results obtained indicate the significance of the-day-of-the-week effect on both stock returns and volatility. While the highest and lowest returns are observed on Friday and Monday, respectively, the highest and lowest volatilities are observed on Thursday and Friday. We also test the-day-of-the-week effect during the pre-and post-10% price limit period. We find that Friday has the highest returns during both of the periods, but there exist some significant differences in the form of the-day-of-the-week effect between the two periods.