TY - JOUR
T1 - Examining the day-of-the-week effects in Chinese stock markets
T2 - New evidence from a stochastic dominance approach
AU - Qiao, Zhuo
AU - Qiao, Weiwei
AU - Wong, Wing Keung
N1 - Funding Information:
The authors are grateful to an anonymous referee, Professor Lam S.K. Keith and Professor Li Han for their helpful comments. The first author gratefully acknowledges financial support from University of Macau (research grant number RG019/09-10S/QZ/FBA). The third author would like to acknowledge support from Hong Kong Baptist University and Research Grants Council of Hong Kong. The third author also thanks Robert B. Miller and Howard E. Thompson for their continuous guidance and encouragement.
PY - 2011/9
Y1 - 2011/9
N2 - 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.
AB - 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.
KW - Chinese stock markets
KW - Day-of-the-week effect
KW - Mean-variance criterion
KW - Stochastic dominance
UR - http://www.scopus.com/inward/record.url?scp=80052539487&partnerID=8YFLogxK
U2 - 10.1080/1226508X.2011.601628
DO - 10.1080/1226508X.2011.601628
M3 - Journal article
AN - SCOPUS:80052539487
SN - 1226-508X
VL - 40
SP - 251
EP - 267
JO - Global Economic Review
JF - Global Economic Review
IS - 3
ER -