| Summary: | Abstract
This study tests the presence of the day of the week effect, the monthly effect and the holiday effect on index returns by using the Shenzhen Stock Exchange A Share Index and Shanghai Stock Exchange A Share Index during the period of 2 January 1995 and 30 December 2005. The findings show that the day of the week effect, the monthly effect and the holiday effect (only in Shanghai) are present in the return equations of the GARCH (1, 1) model, the GARCH-M model and the Modified GARCH (1, 1) model. In terms of the day of the week effect in Chinese stock market, the highest rates of returns are observed on Tuesday and Friday, while the lowest rates of returns appear on Monday and Thursday. There is also a monthly effect for excessive returns in March and January, and negative returns in September and December in Shenzhen Stock Exchange and Shanghai Stock Exchange. However, it seems that the holiday effect is only obviously in the Shanghai Stock Exchange.
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