Research on the Day-of-the-week effect of index returns in China stock market

被引：0

作者：

Lu Fang Yuan ^{[1
]}

Li Cheng Yu ^{[1
]}

机构：

[1] Zhengzhou Univ, Sch Business, Zhengzhou 450052, Peoples R China

来源：

PROCEEDINGS OF THE 2007 INTERNATIONAL CONFERENCE ON MANAGEMENT SCIENCE AND ENGINEERING, FINANCE ANALYSIS SECTION | 2007年

关键词：

China stock market; Day-of-the-week effect; nonparametric method;

D O I：

暂无

中图分类号：

K9 [地理];

学科分类号：

0705 ;

摘要：

This paper divides the seven kinds of index returns of China stock market into three sections on a time scale, and uses nonparametric test to check the existence and modes of Day-of-the-week effect (or for "The effect" in this paper) in the whole and every section. Through comparing various results, the conclusion is that the existence of the Day-of-the-week effect in China stock market is uncertain.

引用

页码：533 / 539

页数：7

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