Proceedings of the International Conference on Transformations and Innovations in Management (ICTIM 2017)

A Test of "black Thursday Effect" of Chinese Stock Market

Authors
Guosong Wang, Pei Jia
Corresponding Author
Guosong Wang
Available Online September 2017.
DOI
https://doi.org/10.2991/ictim-17.2017.65How to use a DOI?
Keywords
Black Thursday effect, GARCH model, Chinese stock market
Abstract

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.

Copyright
© 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/).

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Volume Title
Proceedings of the International Conference on Transformations and Innovations in Management (ICTIM 2017)
Series
Advances in Economics, Business and Management Research
Publication Date
September 2017
ISBN
978-94-6252-405-7
ISSN
2352-5428
DOI
https://doi.org/10.2991/ictim-17.2017.65How to use a DOI?
Copyright
© 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  - https://doi.org/10.2991/ictim-17.2017.65
ID  - Wang2017/09
ER  -