Download This PaperExamining 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
Do you have a job opening that you would like to promote on SSRN?
Recommended Papers
-
Evidence on the Speed of Convergence to Market Efficiency
By Tarun Chordia, Avanidhar Subrahmanyam, ...
-
Neoclassical Finance, Alternative Finance and the Closed End Fund Puzzle
-
Equity Returns at the Turn of the Month
By Wei Xu and John J. Mcconnell
-
Testing the Significance of Calendar Effects
By Peter Reinhard Hansen, Asger Lunde, ...
-
The Nepalese Stock Market: Efficiency and Calendar Anomalies
-
Are Calendar Anomalies Still Alive?: Evidence from Istanbul Stock Exchange
By Recep Bildik
-
Multiple Comparisons of Return Distributions: A New Look at the Day-of-The-Week Effect
By Dan Galai and Haim Kedar-levy
