The Day-of-the-Week Effect: New Evidence from the Chinese Stock Market

Jinghan Cai, Yuming Li and Yuehua Qi

Chinese Economy, 2006, vol. 39, issue 2, 71-88

Abstract: We study the day-of-the-week effect for A shares and B shares traded on the Shanghai and Shenzhen stock exchanges in China. We find that average Monday returns from A-share indexes are significantly negative during the third and fourth weeks, as in the U.S. market. However, average Tuesday returns on most of the A-share and B-share indexes are negative during the second week of the month. Even after controlling for autocorrelation and the spillover impact from regional and international markets, the day-of-the-week effect in the Chinese market remains significant.

Date: 2006
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