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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.

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File URL: http://hdl.handle.net/10.1080/1226508X.2011.601628
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Bibliographic Info

Article provided by Taylor & Francis Journals in its journal Global Economic Review.

Volume (Year): 40 (2011)
Issue (Month): 3 (September)
Pages: 251-267

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Handle: RePEc:taf:glecrv:v:40:y:2011:i:3:p:251-267

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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.

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