The “Black Thursday” effect in Chinese stock market

Kevin Luo and Shuairu Tian

Journal of Behavioral and Experimental Finance, 2020, vol. 27, issue C

Abstract: This study aims to document and explain calendar effects in the Chinese stock market. We first identify a Thursday downward effect that is consistent over time and across representative market indexes. Simple trading strategies based on the Thursday effect outperform the buy-and-hold strategy and can be of substantial benefit in timing preconceived trades. We then show that the Thursday effect can be partly explained by routine open-market operations occurring on Thursday and by the market’s unique settlement procedures (the T＋1 withdrawal limit).

Date: 2020
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Persistent link: https://EconPapers.repec.org/RePEc:eee:beexfi:v:27:y:2020:i:c:s2214635020300137

DOI: 10.1016/j.jbef.2020.100367

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