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

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  • Zhuo Qiao
  • Weiwei Qiao
  • Wing-Keung Wong

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.

Suggested Citation

  • Zhuo Qiao & Weiwei Qiao & Wing-Keung Wong, 2011. "Examining the Day-of-the-Week Effects in Chinese Stock Markets: New Evidence from a Stochastic Dominance Approach," Global Economic Review, Taylor & Francis Journals, vol. 40(3), pages 251-267, September.
    • Handle: RePEc:taf:glecrv:v:40:y:2011:i:3:p:251-267
    DOI: 10.1080/1226508X.2011.601628
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    Cited by:

    1. Long, Ling & Tsui, Albert K. & Zhang, Zhaoyong, 2014. "Conditional heteroscedasticity with leverage effect in stock returns: Evidence from the Chinese stock market," Economic Modelling, Elsevier, vol. 37(C), pages 89-102.
    2. Al-Khazali, Osamah & Mirzaei, Ali, 2017. "Stock market anomalies, market efficiency and the adaptive market hypothesis: Evidence from Islamic stock indices," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 51(C), pages 190-208.
    3. Shuang Feng & Jon T. Stewart, 2015. "A Review of Market Segmentation and Inefficiencies of the Chinese Stock Market," International Journal of Finance & Banking Studies, Center for the Strategic Studies in Business and Finance, vol. 4(4), pages 18-28, October.
    4. Al-Khazali, Osamah, 2014. "Revisiting fast profit investor sentiment and stock returns during Ramadan," International Review of Financial Analysis, Elsevier, vol. 33(C), pages 158-170.

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