Monday Effect in the Chinese Stock Market

Abstract

The Monday effect is a well know effect in some countries around the world. The Monday effect is the observation that stock returns on Monday are statically significantly lower than for the rest of the days of the week. There is no obvious fundamental reason behind this occurrence and if it actually exists it might be due to human behavioral patterns. This Monday effect observation originated in the U.S. several decades ago and it has since being observed in several other countries. In this article the occurrence of the Monday effect is analyzed in the mainland China equity market. It was found that for the period from 2011 to 2016 there was no statistically significant Monday effect but interestingly there are indications of a possible Thursday effect. This concept was tested with several market indexes covering the two major mainland China stock exchanges (Shanghai and Shenzhen). These indexes covered also a broad spectrum of company sizes. The ChiNext index, which is a Nasdaq like type of index for the Chinese market, was also included. In this article it was also tested and confirmed that the returns on Chinese equities, as expected, do not follow a normal distribution.

The seasonality of gold prices in China does the risk‐aversion level matter?

“…However, according to Perez (), the Monday effect can be explained by the asset liquidity. Indeed, the role of liquidity on the stock market calendar anomalies has been confirmed by numerous empirical findings.…”

Day-of-the-week effect and volatility in stock returns: evidence from the Indian stock market

“…Zhang and Li (2006) investigated time-varying calendar effects in the Chinese stock markets using GARCH-Generalized Error Distribution (GARCH-GED) model and found that Friday effect disappeared and significant positive returns appeared on Tuesday. Other studies, such as Qiao et al (2011) and Perez (2018), in China also found the existence of day-ofthe-week effect. Soares et al (2013) and Sehgal et al (2014) found the existence of day-of-theweek effects in Brazil using OLS regression and Capital Asset Pricing Model (CAPM).…”

“…However, the majority of research papers appear to concentrate around USA and other developed markets (Guidi et al, 2011;Chatzitzisi et al, 2021;Khan and Rabbani, 2019;Plastun et al, 2019). Recently, some of the literature focused on Asian countries (Jaisinghani, 2016;Perez, 2018;Toit et al, 2018). Therefore, calendar anomalies appear to exist not only in developed stock markets, but also in emerging Asian countries.…”

“…, 2019). Recently, some of the literature focused on Asian countries (Jaisinghani, 2016; Perez, 2018; Toit et al. , 2018).…”

Pengujian Monday Effect pada Indeks LQ-45 di Bursa Efek Indonesia pada saat Pandemi

“…Pasar dikatakan efisien jika investor individu maupun investor institusi tidak dapat memperoleh abnormal return dalam jangka waktu yang panjang dengan menggunakan strategi perdagangan yang ada. Menurut Perez (2018) pasar modal dikatakan tidak efisien jika perusahaan berada dalam situasi yang mempengaruhi operasi bisnisnya dan informasi yang tersedia untuk umum, tetapi tindakan perusahaan tidak mengubah harga pasarnya. Jika hal ini terjadi, maka para investor dapat memanfaatkan fenomena ini dan menyusun strategi agar mendapatkan abnormal return.…”