Document Type

Journal Article

Department/Unit

Department of Economics

Title

Examining the day-of-the-week effects in Chinese stock markets: New evidence from a stochastic dominance approach

Language

English

Abstract

Many researchers have investigated the existence of day-of-the-week effects in different financial markets. However, they have usually adopted a parametric approach, which is known to have a few limitations. This paper adopts a non-parametric stochastic dominance (SD) approach to examine the day-of-the-week effects in Chinese stock markets. In contrast to the extensive evidence of day-of-the-week effects disclosed by a parametric mean-variance (MV) approach, our SD tests show that the day-of-the-week effect is much weaker. We find that there are only Wednesday effects in Chinese A-share and B-share stock markets. © 2011 Institute of East and West Studies, Yonsei University, Seoul.

Keywords

Chinese stock markets, Day-of-the-week effect, Mean-variance criterion, Stochastic dominance

Publication Date

2011

Source Publication Title

Global Economic Review

Volume

40

Issue

3

Start Page

251

End Page

267

Publisher

Taylor & Francis

DOI

10.1080/1226508X.2011.601628

ISSN (print)

1226508X

ISSN (electronic)

17443873

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