View article

This paper examines the day-of-the-week effect in the stock markets of China. We find negative returns on Tuesday after January 1, 1995. This Tuesday anomaly disappears after taking the non-normality distribution and spillover from other countries into account. The finding suggests that this day-of-the-week regularity in China may be due to the spillover from the Americas. The evidence of the day-of-the-week anomaly in China is clearly dependent on the estimation method and sample period. When transaction costs are taken into account, the probability that arbitrage profits are available from the day-of-the-week trading strategies seems very small. This conclusion is obviously consistent with an efficient market approach.