Does the Day of the Week form Still Persistent on the Chinese Stock Market?

Abstract

The study investigated both of the major Chinese markets, Shanghai and Shenzhen capital markets of China for both A&B share, for the period from 1995 to 2017. The analysis uses Linear-Regression model in order to test the day of the week effect for each market, valued in both local currency and dollars. First, the stability of the seasonal pattern was unusual. Since there are institutional differences within the Chinese stock market, the similarity between the different seasonal patterns of the Chinese stock market is unlikely. Ultimately, the study asserted an inefficient Chinese stock market. Whereas, the day of week form was revealed through the investigated period, hence, Thursday displayed statistically significant negative effect for both classes of share throughout the period; Monday was negative for B share only and Tuesday negative for A share only. On the other hand, Friday and Wednesday showed a significant positive effect for class B share.