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Evidence of the Weekday Effect Anomaly in the Chinese Stock Market

The result's identifiers

  • Result code in IS VaVaI

    <a href="https://www.isvavai.cz/riv?ss=detail&h=RIV%2F61989100%3A27510%2F17%3A10238028" target="_blank" >RIV/61989100:27510/17:10238028 - isvavai.cz</a>

  • Result on the web

  • DOI - Digital Object Identifier

Alternative languages

  • Result language

    angličtina

  • Original language name

    Evidence of the Weekday Effect Anomaly in the Chinese Stock Market

  • Original language description

    The weekday effect anomaly is considered as a market pricing anomaly which refers to some regularities in the rates of return during the week and thus, it is a category of calendar anomalies. This article is focused on the Chinese stock market and its main objective is to assess the presence of the day of the week effect anomaly through examining SSE and SZSE Composite Indexes. In this study, it is firstly examined whether there are significant differences between Monday and other weekday daily returns using the tests of differences between two means. The following empirical study is focused on the relationship between daily returns and weekdays, which is conducted using the binary logistic regression analysis. The overall results indicate that both indexes show the presence of the day of the week effect, and the effect is significantly greater in Shenzhen stock exchange. In both markets, Thursday daily returns significantly differ from other daily returns, which suggests a specific day of the week effect in the Chinese stock markets.

  • Czech name

  • Czech description

Classification

  • Type

    J<sub>ost</sub> - Miscellaneous article in a specialist periodical

  • CEP classification

  • OECD FORD branch

    50206 - Finance

Result continuities

  • Project

  • Continuities

    S - Specificky vyzkum na vysokych skolach

Others

  • Publication year

    2017

  • Confidentiality

    S - Úplné a pravdivé údaje o projektu nepodléhají ochraně podle zvláštních právních předpisů

Data specific for result type

  • Name of the periodical

    Ekonomická revue - Central European Review of Economics Issues

  • ISSN

    1212-3951

  • e-ISSN

  • Volume of the periodical

    20

  • Issue of the periodical within the volume

    4

  • Country of publishing house

    CZ - CZECH REPUBLIC

  • Number of pages

    12

  • Pages from-to

    133-144

  • UT code for WoS article

  • EID of the result in the Scopus database