Empirical study on the day-of-the-week effect in China stock markets

This paper shows that the day-of-the-week exists in China stock markets by using the data in 2005-2009 periods, and the results show that the positive returns are on Monday, Wednesday and Friday, and the negative returns are on Tuesday and Thursday, which is totally different with the Dow Jones Index in America. The difference between China stock markets and America stock market may be related with spillover effect. And the day-of-the-week effect in china may be due to the settlement procedure and spillover from the America.