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Examining the Day-of-the-Week effects in Chinese stock markets: New evidence from a stochastic dominance approach
Zhuo Qiao1; Weiwei Qia2; Wing-Keung Wong3
2011-09-09
Source PublicationGlobal Economic Review
Volume40Issue:3
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.

KeywordDay-of-the-week Effect Stochastic Dominance Chinese Stock Markets Mean-variance Criterion
DOIhttps://doi.org/10.1080/1226508X.2011.601628
Indexed BySSCI ; SSCI
Language英语
WOS Research AreaBusiness & Economics
WOS SubjectEconomics
WOS IDWOS:000264473100006
PublisherELSEVIER SCIENCE SA, PO BOX 564, 1001 LAUSANNE, SWITZERLAND
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Citation statistics
Cited Times [WOS]:19   [WOS Record]     [Related Records in WOS]
Document TypeJournal article
CollectionFaculty of Business Administration
DEPARTMENT OF FINANCE AND BUSINESS ECONOMICS
Corresponding AuthorZhuo Qiao
Affiliation1.Department of Finance and Business Economics, University of Macau, Taipa, Macau, China
2.Department of Information Science and Technology, Wenzhou University, Wenzhou, China
3.Department of Economics, Hong Kong Baptist University, Kowloon Tong, Hong Kong
First Author AffilicationUniversity of Macau
Corresponding Author AffilicationUniversity of Macau
Recommended Citation
GB/T 7714
Zhuo Qiao,Weiwei Qia,Wing-Keung Wong. Examining the Day-of-the-Week effects in Chinese stock markets: New evidence from a stochastic dominance approach[J]. Global Economic Review,2011,40(3).
APA Zhuo Qiao,Weiwei Qia,&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,40(3).
MLA Zhuo Qiao,et al."Examining the Day-of-the-Week effects in Chinese stock markets: New evidence from a stochastic dominance approach".Global Economic Review 40.3(2011).
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