A Research Of The Day-of-the-week Effect In The Chinese Stock Markets

The day of the week effect means that in the stock markets, the yield rates on one day is significant higher or lower than the rest other day during a week. The American stock market was the first market that be examined, and found that the yield on Monday is significant lower than other four days, while the yield on Friday is higher than the rest, so he day of the week effect is also called the Monday effect or the weekend effect. A lot of literatures have showed that the day of the week effect exists in most of the developed markets and the newly industrial markets.The data used in this paper are the practical data in the Shanghai and Shenzhen stock market, which is shanghai market composite index and Shenzhen market component index from January 4th,1994 to December 29th,2006. Translating it into logarithm, then we can receive the yield rate. Take shanghai and Shenzhen market index yield rate as stylebook to review the tow stock markets character.Firstly, we analysis the time series data of the yield, and find the volatility clustering, which means the data is accompanied with the heteroscedasticity. Also we find the yield rate series have not normal distribution characters. And we find Shanghai market have positive Wednesday effect and negative Thursday effect, however Shenzhen market have not remarkable week effect.We find Shanghai market take on remarkable positive Wednesday effect and negative Thursday effect by GARCH model test, also find Shenzhen market just take on positive Wednesday effect. We can find out through the test that last Friday and this Monday have weakly positive correlativity. That means if last Friday have positive yield, this Monday will have more chance is positive yield than negative.By linear regression, we find out that the variance changes of the yield rate in one year is exponential descending. That means shanghai and Shenzhen stock market'efficiency is gradually improving.Through comparative analysis, we can find that Shenzhen market is more efficiency than Shanghai market, and give some reasons why in China stock markets have week effect. At last put forward some explain hypotheses. We give some advice on how to develop the Chinese stock market rapidly and healthily in the end of the paper.