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

DOI

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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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  -