The Empirical Study Of The Day-of-the-week Effect On The Futures Market In China

Since the1970s, the day-of-the-week effect in different countries and marketshave received extensive research. But for china’s futures market, there isn’t somuch research. The research of the day-of-the-week effect in futures market can onthe one hand provide an important basis for decision-making of investors tospeculate, arbitrage or hedge, and on the other hand reflects the effectiveness ofchina’s futures market from side.For testing the presence of the day of the week effect in China’s futuresmarket systematically, based on Baker et al ’s(2008) research that appliedGARCH(1,1) models under different errors hypothesis, in view of the investors’structure in China’s futures market and the existed method of the study of theday-of-the-week effect, this study will employ an empirical study that tests about thedaily return, conditional volatility, trading volume and the open interest(from close toclose),the trading periods(from opening to close) return, conditional volatility,trading volume and the open interest, and the non-trading periods(from close toopening)return, conditional volatility, trading volume and the open interest on futuresmarket (selecting soybean, rubber and copper futures)for the period of2002to2011.By means of GARCH(1,1) models and the rolling example tests, the resultsshowed that:(1)The presence of the day-of-the-week effect is related to the investorstructures on the futures market in China, especially for the individualinvestors.(2)The testing results are closely interrelated with the selected methods, andthe parametric tests are more accurate.(3)The error term distribution has directinfluence upon the empirical results, and under the normal error term distribution themodels fit worst.(4)The different futures sample has different pattern of theday-of-the-week effect, but as a whole, during the first period of the futures marketthere is no day-of-the-week effect, and along with the development of the futuresmarket, the positive Monday effect, that is reversal traditional Monday effect wouldarise. the patterns of the day-of-the-week effect are various as well.(5)On the whole，the trading volume and open interest are the lowest on Monday or Friday, especiallyfor the rubber futures. Besides, the conditional volatility distributions of the variousfutures breeds discord during the days of the week.