Nonparametric Methods and Weekend Effect: New Evidence from the Shanghai Stock Market

摘要

As a market anomaly, weekend effect poses a challenge to the traditional financial theory, and many studies have shown that the weekend effect is a widespread phenomenon in the world. This paper uses the latest ten years' data of Shanghai Stock Exchange (SSE) composite index for a two-period empirical study with nonparametric methods, and the results demonstrate that there is a significant reverse weekend effect, that is, the Monday returns are positive and higher than the returns on other days of the week. This paper further analyzes the reasons for this phenomenon.