Heterogeneity of Day-of-the-Week Effect in Chinese Stock Market Based on Different Scale Indexes
LI Wenhui1 ,WANG Jingjing2
Author information+
1. School of Mathematics and Finance, Hunan University of Humanities, Science and Technology,
Loudi 417000; 2. School of Business, Central South University, Changsha 410083
The Day-of-the-Week effect brings a big challenge to
Efficient Market Hypothesis, but there are few studies on
its heterogeneity. Therefore, we constructed
model to explore this problem based on different scale indexes.
The results indicate that, the Day-of-the-Week effect of Blue-Chip
Index is weaker than the Small and Medium Cap Stock Index, meanwhile,
the regularity is different too. The ``Negative Wednesday'' effect
is prone to the Blue-Chip Index, whereas ``Positive Monday'' effect and
``Positive Tuesday'' effect are prone to the Small-and-Mid-Cap Stock
Index. The influence of market sentiment on Day-of-the-Week effect
in Chinese stock market is not significant while the individual investors
affect the Small-and-Mid-Cap Stock Index a lot. The conclusion provides
a basis for optimizing investor structure and the investor
classification in Chinese stock market.
LI Wenhui, WANG Jingjing.
Heterogeneity of Day-of-the-Week Effect in Chinese Stock Market Based on Different Scale Indexes. Journal of Systems Science and Mathematical Sciences, 2021, 41(6): 1682-1692 https://doi.org/10.12341/jssms20433