Calendar Effect in China's Stock Market An empirical analysis on CSI 300 index

摘要

Various anomalies in financial markets have challenged the classical theory of rational man and efficient market hypothesis, which give birth to behavioral finance. This paper focuses on the discussion of calendar effect. Calendar effect is a phenomenon when abnormal return exists in particular time period. This paper briefly describes the calendar effect and presents a review of literature on day-of-the-week effect. Then, with the introduction of stock index futures, we try to analyze day-of-the-week effect on CSI 300 index from an empirical point of view, which is an underlying asset of stock index futures. Using ARCH model, we concluded that from January 2005 to May 2011, the return of CSI 300 index exhibits "W" shape, and there is significant positive effect on Monday.