Zhang, Bing; Li, Xindan - In: Journal of Chinese Economic and Business Studies 4 (2006) 2, pp. 151-163
The paper uses rolling sample tests to investigate time-varying calendar effects in the Chinese stock market, based on the GARCH (1, 1)-GED model. The Friday effect existed with low volatility at the early stage, but it seems to have disappeared since 1997. The positive Tuesday effect began to...