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1、AbstractThepotentialdefinitionofday-of-the-weekeffectisthataparticulartradingday'sstockreturnsonaveragearelessthanstockreturnsonotherdaysoftheweekandtheaveragestockreturnsarestatisticallysignificantlypositiveornegative.Thefirstpaperaboutitwaspublishedandfoundthat
2、stockdailyreturnsaresignificantlynegativeonMondaysandpositiveonFridaysintheU.S.stockmarket,soitisalsocalledMondayeffectorweekendeffect.Afterreviewingrelativeliterature,wefindthatthereislotsofliteratureexaminingthecalendaranomaliesinstockindexes,butthepapersstudyi
3、nganomalousstockreturnsintheindividualsharesofChinatinsuranceindustryarefew.Inaddition,fortheresearchmethods,mostexistingpaperslikechoosingtousetraditionalwayssuchasthelinearregressionanalysis,theGARCHseriesmodel,linearquantileregressionmodelandsoon,whereasno-nor
4、malandquiteheavytailscharacteristicsofthestockreturndisturbancemakestheanalysisbasedonthesemethodstobechallenged・Therefore,thepurposeofthispaperistoinvestigateempiricallytheexistenceoftheday-of-the-weekeffectinindividualsharesofChina'sinsuranceindustryandcomparew
5、hetherinsurancecompanieslistedindifferentplaceswillhaveaffectsonthemselvesusingstochasticdominance(SD)criterion.Inthisstudy,weusetwoSDtests,oneisproposedbyDavidsonandDuclos(DDtest)andtheotherisputforwardbyBarrettandDonald(Consistenttest).Besides,wehaveappliedMont
6、eCarlosimulationtocomparethesizeandpowerofthesetwotests.Afteranalysis,wehavethefollowingconclusion.First,ourtraditionaltestingapproachesshowthatthelowestandsignificantlynegativemeandailyreturnisobservedonTuesdayandthehighestvolatilityoccursonMondayinindividualsha
7、resofChina'sinsuranceindustry.Second,ourSDtestsshowthatthereisnoevidenceofMondayeffectbutTuesdayeffectintheweakformsinsomeindividualsharesofChina'sinsuranceindustry,whichcontraststothosestockmarketsindevelopedcountries.Morever,thereturn'sdominantrelationofmosttra
8、dingdayscanbejudgedatthesecond-order.Third,ourMonteCarlosimulationresultsshowthattheheavytailscharacteristicsoft-distributionhavenoeffectsonthesizeandpowerofth
