Examining the Weekly Effects in Chinese A-share Stock Market Using a Stochastic Dominance Approach

Many studies have adopted parametric methods to investigate weekly effects in Chinese stock market. However, they have usually adopted a parametric approach, which is known to have a few limitations. This study adopts a nonparametric stochastic dominance (SD) approach to examine the weekly effects in recent Chinese A-share stock market. In contrast to the evidence of existence of Friday effect disclosed by a parametric mean-variance (MV) approach, our SD tests show that there is no weekly effect in recent Chinese A-share stock market.