Department of Economics
Examining the day-of-the-week effects in Chinese stock markets: New evidence from a stochastic dominance approach
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.
Chinese stock markets, Day-of-the-week effect, Mean-variance criterion, Stochastic dominance
Source Publication Title
Global Economic Review
Taylor & Francis
Link to Publisher's Edition
Qiao, Zhuo, Weiwei Qiao, and Wing-Keung Wong. "Examining the day-of-the-week effects in Chinese stock markets: New evidence from a stochastic dominance approach." Global Economic Review 40.3 (2011): 251-267.