CAI, JINGHAN; LI, YUMING; QI, YUEHUA - In: Chinese Economy 39 (2006) 2, pp. 71-88
We study the day-of-the-week effect for A shares and B shares traded on the Shanghai and Shenzhen stock exchanges in China. We find that average Monday returns from A-share indexes are significantly negative during the third and fourth weeks, as in the U.S. market. However, average Tuesday...