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The “Black Thursday” effect in Chinese stock market

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  • Luo, Kevin
  • Tian, Shuairu

Abstract

This study aims to document and explain calendar effects in the Chinese stock market. We first identify a Thursday downward effect that is consistent over time and across representative market indexes. Simple trading strategies based on the Thursday effect outperform the buy-and-hold strategy and can be of substantial benefit in timing preconceived trades. We then show that the Thursday effect can be partly explained by routine open-market operations occurring on Thursday and by the market’s unique settlement procedures (the T＋1 withdrawal limit).

Suggested Citation

  • Luo, Kevin & Tian, Shuairu, 2020. "The “Black Thursday” effect in Chinese stock market," Journal of Behavioral and Experimental Finance, Elsevier, vol. 27(C).
    • Handle: RePEc:eee:beexfi:v:27:y:2020:i:c:s2214635020300137
    DOI: 10.1016/j.jbef.2020.100367
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