The Day-of-the-Week Effect: New Evidence from the Chinese Stock Market

Abstract

We study the day-of-the-week effect for A shares and B shares traded on the Shanghai and Shenzhen stock exchanges in China. We find that average Monday returns from A-share indexes are significantly negative during the third and fourth weeks, as in the U.S. market. However, average Tuesday returns on most of the A-share and B-share indexes are negative during the second week of the month. Even after controlling for autocorrelation and the spillover impact from regional and international markets, the day-of-the-week effect in the Chinese market remains significant.