With stochastic dominance approach, this paper gives empirical analysis for calendar anomalies in China stock market using Shanghai Stock Composite lndex during 1993 and 2008. Compared with other methods used in previous literatures, stochastic domina...
With stochastic dominance approach, this paper gives empirical analysis for calendar anomalies in China stock market using Shanghai Stock Composite lndex during 1993 and 2008. Compared with other methods used in previous literatures, stochastic dominance avoids biased conclusion resulted from non-normality in return distribution. Our study shows that there exists a day-of-the-week effect, with the highest return of Friday and the lowest of Monday; and within-month effect with significant higher returns for the first week in a month than other three weeks. In addition, we find February effect instead of January exists in China stock market.