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Day‐of‐the‐Week Effects and Liquidity Dynamics in the Chinese SSE 50 ETF Option Market

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  • Wei Guo
  • Tian Yue

Abstract

We examine day‐of‐the‐week effects in China's SSE 50 ETF options market and uncover three main patterns. Returns are weakest in midweek and strongest on Friday; Friday and Monday returns are not significantly different; and the trough occurs on Wednesday for calls but on Tuesday for puts. These results remain after controlling for standard risk factors, volatility clustering, and COVID‐19‐related structural breaks. While CVIX captures the broad Friday premium, it does not explain the internal asymmetry across option types. We show that trading value is the key liquidity channel behind the anomaly: call trading reflects speculative demand, whereas put trading is more closely tied to hedging demand, and these motives follow different weekly rhythms. VAR results further indicate that high Friday trading value creates an immediate price effect and a reversal on Monday, helping explain the missing weekend effect.

Suggested Citation

  • Wei Guo & Tian Yue, 2026. "Day‐of‐the‐Week Effects and Liquidity Dynamics in the Chinese SSE 50 ETF Option Market," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 46(9), pages 1501-1526, September.
    • Handle: RePEc:wly:jfutmk:v:46:y:2026:i:9:p:1501-1526
    DOI: 10.1002/fut.70118
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