{"title":"Day-of-the-Week Effects and Liquidity Dynamics in the Chinese SSE 50 ETF Option Market","authors":"Wei Guo, Tian Yue","doi":"10.1002/fut.70118","DOIUrl":null,"url":null,"abstract":"<div>\n \n <p>We examine day-of-the-week effects in China's SSE 50 ETF options market and uncover three main patterns. Returns are weakest in midweek and strongest on Friday; Friday and Monday returns are not significantly different; and the trough occurs on Wednesday for calls but on Tuesday for puts. These results remain after controlling for standard risk factors, volatility clustering, and COVID-19-related structural breaks. While CVIX captures the broad Friday premium, it does not explain the internal asymmetry across option types. We show that trading value is the key liquidity channel behind the anomaly: call trading reflects speculative demand, whereas put trading is more closely tied to hedging demand, and these motives follow different weekly rhythms. VAR results further indicate that high Friday trading value creates an immediate price effect and a reversal on Monday, helping explain the missing weekend effect.</p>\n </div>","PeriodicalId":15863,"journal":{"name":"Journal of Futures Markets","volume":"46 9","pages":"1501-1526"},"PeriodicalIF":2.8000,"publicationDate":"2026-08-04","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":"0","resultStr":null,"platform":"Semanticscholar","paperid":null,"PeriodicalName":"Journal of Futures Markets","FirstCategoryId":"96","ListUrlMain":"https://onlinelibrary.wiley.com/doi/10.1002/fut.70118","RegionNum":4,"RegionCategory":"经济学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":null,"EPubDate":"2026/6/4 0:00:00","PubModel":"Epub","JCR":"Q2","JCRName":"BUSINESS, FINANCE","Score":null,"Total":0}
引用次数: 0
Abstract
We examine day-of-the-week effects in China's SSE 50 ETF options market and uncover three main patterns. Returns are weakest in midweek and strongest on Friday; Friday and Monday returns are not significantly different; and the trough occurs on Wednesday for calls but on Tuesday for puts. These results remain after controlling for standard risk factors, volatility clustering, and COVID-19-related structural breaks. While CVIX captures the broad Friday premium, it does not explain the internal asymmetry across option types. We show that trading value is the key liquidity channel behind the anomaly: call trading reflects speculative demand, whereas put trading is more closely tied to hedging demand, and these motives follow different weekly rhythms. VAR results further indicate that high Friday trading value creates an immediate price effect and a reversal on Monday, helping explain the missing weekend effect.
期刊介绍：
The Journal of Futures Markets chronicles the latest developments in financial futures and derivatives. It publishes timely, innovative articles written by leading finance academics and professionals. Coverage ranges from the highly practical to theoretical topics that include futures, derivatives, risk management and control, financial engineering, new financial instruments, hedging strategies, analysis of trading systems, legal, accounting, and regulatory issues, and portfolio optimization. This publication contains the very latest research from the top experts.
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