A Strategic Study On Day-of-the-week Effct In China HS300Stock Index Futures

Weekday effect, as a kind of market anomalies, has existed in stock market of most developedcountries and some emerging market countries for a long time. The existence of weekday effectmay influence the decision-making process of investosr and the market effieieney. The HS300stockindex futures has been launched by China Financial Futures Exchange in April16,2010. But thefuture market faced many problems such as the high investment threshold, lack of investmentexperience, low volume and market inefficiency. So it has theoretical and practical value toinvestigate the weekday effect of HS300stock index futures. It can not only to help investors toformulate trading strategy, but also make the future market much efficiency.Based on the theory of Effective market, the paper investigates the weekday effect and itsspecific performance which is a typical market anomaly. By testing the weekday effect of HS300stock index futures with descriptive statistics method, dummy independent variables regressionmodel and GARCH model, it is found that,it has negative Tuesday effect and Thursday effect ofreturn and positive Monday effect, it does't have Wednesday effect and Friday effect.The paper points out that the weekday effect of HS300stock index is important reason for theexists of weekday effect of future. What's more,different liquidation system may cause differentopportunity costs of investors, then cause a more negativfe Thursday effect. Meanwhile, it hasvarious time-varing effect in different sample interval. This explains the Monday effect of theHS300stock index future further. The last, the difference of flow of information everyday can ledto the appearance of weekday.It is thinked that the exists of weekday effect provide access to obatin the excess return intheory. Investors can formulate strategy of hedging, arbitrage and speculation to conduct reverseoperation and obatin excess profit.