1970年Eugene Fama首次提出有效市场假说，之后学者不断发现与其相违背的市场异象，周内效应即是其中一种，它指股票等资产在一周内的某一交易日收益率或者波动率明显得偏高或偏低。对周内效应的研究可以深化对市场异象的认识，也能为我国证券市场交易、制度建设等方面提供参考。 本文基于前人成果，进一步深化对中国股市的周内效应的研究，内容包括周内效应的存在性、表现形式、时变特性、市值特性以及机制解释和政策建议。数据上，本文使用中国股市2005年到2022年的指数日收益率数据，共4373个交易日；指数包括全部A股、中证100、沪深300、中证500和中证1000。 本文首先采用带虚拟变量的TGARCH模型检验周内效应的存在性和表现形式，并且结合我国特有国情，本文会考虑到调休效应和中国节日效应对周内效应的干扰。存在性和表现形式检验都是在全部样本区间内进行，为了探究中国股市周内效应的时变特性，本文接着采用滑动窗口回归和分市场状态检验的方法，从而杜绝样本选择偏差和数据挖掘的问题，也能动态且全面地反映周内效应随着中国股市发展的变化情况。在检验周内效应存在性、表现形式和时变特性时，本文会按照市值大小采用不同的指数进行检验，以反应周内效应的市值特性。基于以上的实证，本文会从数据挖掘、投资者情绪、外资等多个角度，对周内效应存在和变化的机制分别进行解释。 在周内效应表现形式方面，本文发现正周一、负周四效应主要存在于小市值股票，正周五效应主要存在大市值股票；时变特性方面，本文发现只有小市值股票的周一效应稳健存在，大市值股票的周二效应在17年之后稳健存在，周三效应在大部分时间都不显著，周四、周五效应也只阶段性存在过。机制解释方面，本文认为周三、周四和周五效应是一种数据挖掘现象，小市值的周一效应可由情绪等因子解释，大市值指数17年后出现的周二效应可以由这段时期买入中国核心资产的外资等因子解释。在实证结果的基础上，本文建议，第一，进一步培育机构投资者；第二，加强信息披露监管，打击小市值股票的内幕交易和坐庄行为。 本文的贡献在于将周内效应的研究从静态转为动态，也有助于解决之前国内研究结论存在矛盾的问题；并且从实证的角度给周内效应的背后机制做出了解释。

In 1970s, American economist Eugene Fama first proposed the Efficient Market Hypothesis (EMH). Since the efficient market hypothesis was put forward, economists and financial scientists have constantly found market anomalies contrary to it. The weekend effect is a widespread market anomaly, which refers to the significantly higher or lower return rate or volatility of stocks on a certain day in a week. On the basis of previous studies, this paper further makes an empirical analysis of the weekend effect of Chinese stock market, including the existence, manifestation, time-varying characteristics and market value characteristics of the weekend effect. The research data in this paper is the daily return data of China‘s stock market from 2005 to 2022, a total of 4373 trading days; The index includes all A-shares, CSI 100, CSI 300, CSI 500 and CSI 1000, thus representing stocks with different market values. In this paper, the non-parametric test Kruskal-Wallis (K-W) method is first used to study the existence of the weekly effect, and then the TGARCH model with dummy variables is used to test the manifestation of the weekly effect, because the TGARCH model can better fit the volatility aggregation and heteroscedasticity characteristics of the stock market, so as to obtain more reliable conclusions. Both the existence and manifestation tests are carried out within the whole sample interval. In order to further study the time-varying characteristics of the weekend effect of China‘s stock market, this paper then adopts the sliding window regression method to conduct empirical analysis on different intervals, so as to eliminate the possibility of sample selection bias and data mining. And more comprehensively and dynamically reflect the changes of the weekend effect with the development of China‘s stock market. When testing the existence, manifestation and time-varying characteristics of the weekend effect, this paper will use different indexes according to the market value to test, so as to reflect the market value characteristics of the weekend effect. In terms of the existence of weekend effect, the paper finds that there is a significant weekend effect in different market capitalization stocks. In terms of expression forms, this paper finds that positive Monday and negative Thursday effects mainly exist in small-market stocks, and positive Friday effects mainly exist in large-market stocks. In terms of time-varying characteristics, this paper finds that only small-market stocks on Monday are stable in each range, large-market stocks on Tuesday effect appears after 17 years, Wednesday effect is not significant in most of the time, and Thursday and Friday effect only exist in stages. In terms of mechanism explanation, the intra-week effect is more related to investor sentiment and T+1 trading system. The Tuesday effect after 17 years of large-cap stocks may be related to the large amount of foreign investment in China‘s core assets at that time. On the basis of the empirical results, This paper suggests that, first, we should continue to cultivate institutional investors and guide trading behavior to be more rational; Second, we need to strengthen the regulation over information disclosure and crack down on insider trading and banking practices. The contribution of this paper is to change the study of weekend effect from static to dynamic, and also to solve the problem of conflicting conclusions in previous domestic research; The mechanism behind the weekend effect is explained from an empirical point of view.