SAD effect on the return volatility and dynamic relevance analysis among the unexpected returns in China's market indices

Mao Yang

International Journal of Networking and Virtual Organisations, 2009, vol. 6, issue 4, 418-425

Abstract: Many studies on stock return volatility have been done, but the literature about unexpected returns and their conditional variance has been scarce so far. This paper examines the effect of the medical phenomenon Seasonal Affective Disorder (SAD) on Chinese market indices' unexpected return volatility under the control of weekend effect and January effect by using the GARCH models, further analysing dynamic relevance relationships of the unexpected return among China's stock indices by constructing the near-VAR model. The results obtained indicate that the SAD effect on the unexpected return volatility of Chinese market indices is very significant for Chinese stock indices and the Shanghai composite index plays a most influential role among the other stock markets.

Keywords: SAD effect; GARCH model; near-VAR model; weekend effect; January effect; unexpected return volatility; dynamic relevance analysis; China; market indices; stock returns; seasonal affective disorder; stock markets. (search for similar items in EconPapers)
Date: 2009
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