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

24 Pages Posted: 22 Dec 2010

See all articles by Wing-Keung Wong

Wing-Keung Wong

Asia University, Department of Finance

Weiwei Qiao

affiliation not provided to SSRN

Zhuo Qiao

University of Macau

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

Wong, Wing-Keung and Qiao, Weiwei and Qiao, Zhuo, Examining the Day-of-the-Week Effects in Chinese Stock Markets: New Evidence from a Stochastic Dominance Approach (December 21, 2010). Available at SSRN: https://ssrn.com/abstract=1729105 or http://dx.doi.org/10.2139/ssrn.1729105

Wing-Keung Wong (Contact Author)

Asia University, Department of Finance ( email )

Taiwan
Taiwan

Weiwei Qiao

affiliation not provided to SSRN ( email )

Zhuo Qiao

University of Macau ( email )

P.O. Box 3001
Macau

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