Evidence of the Weekday Effect Anomaly in the Chinese Stock Market

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by Ing. Martina Novotná Ph.D. , Jin Zeng


JEL classification

  • Information and Market Efficiency; Event Studies; Insider Trading
  • Financial Forecasting and Simulation
  • General Financial Markets: Government Policy and Regulation


Chinese stock market, logistic regression analysis, calendar anomaly, market efficiency, weekday effect


The 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.