Examining the Day-of-the-Week Effects in Chinese Stock Markets: New Evidence from a Stochastic Dominance Approach
24 Pages Posted: 22 Dec 2010
Date Written: December 21, 2010
Abstract
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.
Keywords: Day-of-the-week effect, Mean-variance criterion, Stochastic dominance, Chinese stock markets
JEL Classification: C14, G12, G15
Suggested Citation: Suggested Citation
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