A Study On The Weekly Effect Of China’s Stock Market And The Analysis Of Influence Factors

This paper studies of the Day-of-the-week Effect of China’s Stock Market. Firstly analyzes the statistical characteristics of four indexes, such as the Shanghai180index, tidal wave plate index, the Shanghai small and medium-sized index and Shenzhen stock exchange500index. The first two index on behalf of the larger and more mature companies, after two indexes on behalf of the smaller companies. About the statistical properties characteristics, the first two index of the average return on Thursday are relatively low, after two index on Monday and Wednesday, average return are relatively high. The return rate present high kurtosis and fat tailed, therefore we can’t do regression by using simple least squares method. The charts of return rate are fluctuation gathered characteristic, these characteristics determine the use of TGARCH model methods. The return rate of the four indexes is stationary, and most are autocorrelation, so it’s very appropriate by using TGARCH-M models.In the empirical test, firstly test the day-of-the-week effect of the four indexes by using ARMA, TGARCH-M method, draw the conclusion that the returns rate of Shanghai180index and tidal wave plate index which representative big companies show negative Thursday effect, and Shanghai small and medium-sized index show positive Monday effect, Shenzhen stock exchange500index show positive Monday effect and Wednesday effect, these two indexes representative small companies, this conclusion consistent with statistical properties analysis. At the same time, this article directly test negative Thursday effect of15big companies and positive Monday and Wednesday effect of15small company, draw the conclusion that, most of the big companies show significant negative Thursday effect, and most small companies show significant positive Monday and Wednesday, effect. Fama-French three factors can explain a lot of irregular effects. This paper studies if three risk factors can explain excess weekend returns. The results show that the market factor and scale factor are associated with excess returns, and the book-to-market factor has nothing to do with it, so regress excess returns against the market factor and scale factor, found that30companies’most excess returns disappear, but also have some companies have no significant effect, so we can’t determine accurate asset pricing model by using the two factors.Behavior finance plays an important role in the study of Day-of-the-week Effect. This paper analysis the herding behavior to the Day-of-the-week Effect, found that large companies have significant herding behavior, and small companies is not significant. So we believe that large companies’negative Thursday effect is related to herding behavior, and small companies Day-of-the-week Effect has nothing to do with herding behavior.The summary of article, Puts forward some policy Suggestions for the investors and regulators. For the investors, making use of weekend effect which can predict, they can buy in high income days, and sell in low income days for the arbitrage. For regulators, because Day-of-the-week Effect exist means that Chinese stock market have not reached the weak effective, supervision need to be strengthen, information disclosure system need to be strengthen, and taking strict against insider trading, also will strengthen cultivate investors, and regulating the intermediary service institutions. Ensure that Chinese stock market operate more effectively.