Research on the Day-of-the-Week Effect of Index Returns in China Stock Market

摘要：

This paper divides the seven kinds of index returns of China stock market into three sections on a time scale,and uses nonparametric test to check the existence and modes of Day-of-the-week effect (or for The effect in this paper) in the whole and every section.Through comparing various results,the conclusion is that the existence of the Day-of-the-week effect in China stock market is uncertain.

关键词： China stock market Day-of-the-week effect Nonparametric method

作者: LU Fang Yuan LI Cheng Yu

作者单位: Business School,Zhengzhou University,P.R.China,450052

会议类型: 国际会议

会议名称: 2007 International Conference on Management Science and Engineering(2007管理科学与工程国际学术会议)

会议地点: 河南焦作

会议语种:英文

页码: 2001-2007

在线出版日期: 2007-08-20（万方平台首次上网日期，不代表论文的发表时间）