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dc.contributor.authorNovotná, Martina
dc.contributor.authorZeng, Jin
dc.date.accessioned2018-04-05T07:51:48Z
dc.date.available2018-04-05T07:51:48Z
dc.date.issued2017
dc.identifier.citationEkonomická revue. 2017, roč. 20, č. 4, s. 134-144 : il.cs
dc.identifier.issn1212-3951
dc.identifier.urihttp://hdl.handle.net/10084/125622
dc.description.abstractThe weekday effect anomaly is considered as a market pricing anomaly which refers to some regularities in the rates of return during the week and thus, is a category of calendar anomalies. This article is focused on the Chinese stock market and its main objective is to assess the presence of the day of the week effect anomaly through examining the SSE and SZSE Composite Indexes. In this study, it is firstly examined whether there are significant differences between Monday and other weekday daily returns using the tests of differences between two means. The following empirical study is focused on the relationship between daily returns and weekdays, which is conducted using binary logistic regression analysis. The overall results indicate that both indexes show the presence of the day of the week effect, and the effect is significantly greater in the Shenzhen stock exchange. In both markets, Thursday daily returns significantly differ from other daily returns, which suggests a specific day of the week effect in the Chinese stock markets.cs
dc.format.extent697882 bytes
dc.format.mimetypeapplication/pdf
dc.language.isoen
dc.publisherVysoká škola báňská - Technická univerzita Ostravacs
dc.relation.ispartofseriesEkonomická revuecs
dc.relation.urihttps://www.ekf.vsb.cz/export/sites/ekf/cerei/cs/cisla/vol20/vol20num4/dokumenty/VOL20NUM04PAP03.pdf
dc.rights© Vysoká škola báňská - Technická univerzita Ostravacs
dc.subjectChinese stock marketen
dc.subjectlogistic regression analysisen
dc.subjectcalendar anomalyen
dc.subjectmarket efficiencyen
dc.subjectweekday effecten
dc.titleEvidence of the weekday effect anomaly in the Chinese stock marketen
dc.typearticle
dc.identifier.doi10.7327/cerei.2017.12.03
dc.rights.accessopenAccess
dc.type.versionpublishedVersion
dc.type.statusPeer-reviewed


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