Weekday seasonality of stock returns: The contrary case of China
Fahad Ali and
Journal of Asian Economics, 2020, vol. 68, issue C
We document that Chinese stock returns exhibit early-in-the-week effects opposite-signed to those observed worldwide. The period of analysis is 2001–2016. Dominated by individual investors, Chinese stock markets offer unique out-of-sample insight regarding the source of weekday seasonality, ascribed elsewhere to institutional investors’ trading patterns. High returns to the market and to small, speculative stocks early-in-the-week pose a refuter to the mood explanation for the conventional (negative) Monday effect. A battery of tests suggests that the patterns in the Market, SMB, and RMW factors are jointly associated with Chinese individual investors whose demand is tilted towards small, speculative stocks. Our findings point to a potential role of dominant investor type in driving weekday patterns and the RMW premium.
Keywords: Weekday patterns in stock returns; Fama-French five-factors; RMW factor; Chinese stock market (search for similar items in EconPapers)
JEL-codes: G12 G14 G15 G41 (search for similar items in EconPapers)
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Persistent link: https://EconPapers.repec.org/RePEc:eee:asieco:v:68:y:2020:i:c:s1049007820300452
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