Examining the Day-of-the-Week Effects in Chinese Stock Markets: New Evidence from a Stochastic Dominance Approach

Zhuo Qiao, Weiwei Qiao and Wing-Keung Wong

Global Economic Review, 2011, vol. 40, issue 3, 251-267

Abstract: Many researchers have investigated the existence of day-of-the-week effects in different financial markets. However, they have usually adopted a parametric approach, which is known to have a few limitations. This paper adopts a non-parametric stochastic dominance (SD) approach to examine the day-of-the-week effects in Chinese stock markets. In contrast to the extensive evidence of day-of-the-week effects disclosed by a parametric mean-variance (MV) approach, our SD tests show that the day-of-the-week effect is much weaker. We find that there are only Wednesday effects in Chinese A-share and B-share stock markets.

Date: 2011
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DOI: 10.1080/1226508X.2011.601628

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