Examining the day-of-the-week effects in Chinese stock markets: New evidence from a stochastic dominance approach

Zhuo Qiao*, Weiwei Qiao, Wing Keung WONG

*Corresponding author for this work

Research output: Contribution to journalArticlepeer-review

1 Citation (Scopus)

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.

Original languageEnglish
Pages (from-to)251-267
Number of pages17
JournalGlobal Economic Review
Volume40
Issue number3
DOIs
Publication statusPublished - Sep 2011

Scopus Subject Areas

  • Business and International Management
  • Economics, Econometrics and Finance(all)
  • Political Science and International Relations

User-Defined Keywords

  • Chinese stock markets
  • Day-of-the-week effect
  • Mean-variance criterion
  • Stochastic dominance

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