Study on Contagion of Day of the Week Effect on Stock Markets
In this paper,at first,we study on the day of the week effect of four stocks index:Shanghai Stock Exchange Composite(SSEC),Shenzhen Stock Exchange Component(SZSEC),HangSeng Index(HSI),Nikkei 225;furthermore,we consider the contagion relationship of the day of the effect among four stocks index.The results show that in Shanghai stock market,there are three days have week effect,negative effect on Tuesday and positive effect on Wednesday and Friday,in Shenzhen stock market,also have positive effect on Wednesday and Friday,in Hongkong stock market and Tokyo stock market,they are respectively have positive effect on Friday and negative effect on Monday.The results of contagion relationship show that the positive effect on Wednesday and Friday transmit each other between Shanghai and Shenzhen Stock markets,the positive effect on Friday of Shanghai and Hongkong markets also transmit each other,so do Shenzhen and Hongkong,Tokyo market haven't contagion relationship with others.