Stock Return in SSE Composit by Weekday using R

Objective

Confirm that the stock return for Thursday is lower than other weekdays, maybe because liquidity operations by Central Bank.

Script Logistics

1. get data from Yahoo! finance
2. get daily percentage return with Delt()
3. store weekday and p.change data in data.container
4. get mean return for each 5% quantile for each weekday suing by()
5. output data and plot using Libre Calc

Results


• Monday seems to be more volatile than other weekdays(more likely to outperform in good times and underperform in bad)
  • We see largest rise and plunge in Mondays
• For the first 5%-80% Thursday seems to have larger drop than other weekdays

TODOs(maybe)

• Although the conclusions above are obvious and illustrative from the figure, stats and p-values can be added
• Script can not work for R with other timezone and localizations