Empirical study on the day-of-the-week effect in China stock markets

摘要：

this paper shows that the day-of-the-week exists in China stock markets by using the data in 2005-2009 periods, and the results show that the positive returns are on Monday, Wednesday and Friday, and the negative returns are on Tuesday and Thursday, which is totally different with the Dow Jones Index in America. The difference between China stock markets and America stock market may be related with spillover effect. And the day-of-the-week effect in china may be due to the settlement procedure and spillover from the America.

关键词： day-of-the-week effect Behavioral Finance Runs test Kruskal-Wallis test

作者: Xiaguo Zhong Shan Xia Weili Xia

作者单位: School of Management, Northwestern Polytechnical University Xian China

会议类型: 国际会议

会议名称: 2010 IEEE International Conference on Emergency Management and Management Sciences(2010 IEEE应急管理与管理科学国际会议 ICEMMS)

会议地点: 北京

会议语种:英文

页码: 194-197

在线出版日期: 2010-08-08（万方平台首次上网日期，不代表论文的发表时间）