A Test of "black Thursday Effect" of Chinese Stock Market
Guosong Wang, Pei Jia
Available Online September 2017.
- 10.2991/ictim-17.2017.65How to use a DOI?
- Black Thursday effect, GARCH model, Chinese stock market
As a kind of market anomaly shared by various national stock markets, week effect has important research value in EMH study, and "black Thursday effect" is a part of all the week effects. In this paper, Shanghai Stock index and Shenzhen A share index were analyzed to verify the existence of week effect. GARCH model with dummy variables is selected to test the week effect of the yield of A shares. Conclusions can be made through the test that "Black Thursday effect" indeed exists in Chinese stock market. Then the possible related reasons are put forward so as to make some suggestions for the regulators and traders of the securities market.
- © 2017, the Authors. Published by Atlantis Press.
- Open Access
- This is an open access article distributed under the CC BY-NC license (http://creativecommons.org/licenses/by-nc/4.0/).
Cite this article
TY - CONF AU - Guosong Wang AU - Pei Jia PY - 2017/09 DA - 2017/09 TI - A Test of "black Thursday Effect" of Chinese Stock Market BT - Proceedings of the International Conference on Transformations and Innovations in Management (ICTIM 2017) PB - Atlantis Press SP - 858 EP - 866 SN - 2352-5428 UR - https://doi.org/10.2991/ictim-17.2017.65 DO - 10.2991/ictim-17.2017.65 ID - Wang2017/09 ER -