Day‐of‐the‐Week Effects and Liquidity Dynamics in the Chinese SSE 50 ETF Option Market
研究中国上证50ETF期权市场的星期效应，发现周三和周二分别是看涨和看跌期权收益的最低点，周五收益最高，且交易价值是驱动该异象的关键流动性渠道。
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.