Calendar effects mean that market returns associate with the specific transaction date in stock market, there're two important forms: day of the week effects and month of the year effects.Daily data from 1991 to 2004 is used for estimation on day of the week effects and month of the year effects of stock Returns in China. In order to analysis whether the calendar effects have conversed, the whole sample was divided into four parts based on the closing quotation to analysis the day of the week effects and month of the year effects in different periods. The conclusion is that there are weekend effect and May effect of stock returns in China, reverses of calendar effects have happened in recent years, so the efficiency of China's stock market has improved, but it hasn't reach to the point of week form efficiency.The existence of calendar effects reveals that there're some problems in information management and behavior of participants in China's Stock Market, so some advice is stated in the last part of the thesis to improve the efficiency of China's Stock Market. |