Csi 300 Index Calendar Effects Empirical Research

As one of the market phenomenon, the calendar effect attracts many researchers' attention. Calendar effect reveals the underlying cause of the market's non-validity, such as the incomplete and asymmetric information, the investors' incomplete rationality and so on. Therefore, the study of calendar effect is of great significance for improving the financial market, increasing the stock market's efficiency, distributing the market risk and benefiting reasonably. In addition, the study not only can provide some useful reference for constructing China stock market system and developing form of information disclosure but also help the supervisory department to design a kind of more reasonable market system, which is developing more healthy, rapidly and orderly.In this paper, Shanghai and Shenzhen 300 Index were used as the sample, I investigated the week-effect of the Shanghai and Shenzhen 300 Index rate systematically and analyzed the results, trying to propose some viewpoint to the problems existed in the securities and trading markets.This paper is divided into the following four parts:The first part contains the study's background, significance and international research reviews. This study meets the background that stock Index futures has been introduced and China financial market is developing rapidly, it has a positive significance. The paper has a more detailed review on the domestic reports.The second part contains the introduction of some basic theories of the phenomenon and the efficient market hypothesis. The efficient market hypothesis is consisted of three types: the weak-form, the semi-strong form and the strong-form. This part recommends the content and relationship of the three types and has a systematic illustration of the phenomenon as well as researchers'various explanation.The third part has an empirical research on the Shanghai and Shenzhen 300 Index rate, this part is the hardcore of this article. I studied the week-effect by the way of sample overlapping, which can make the statistical results more stable and reliable. Firstly, I made the descriptive statistics of the overall sample and the ones of every stage, making a comparative analysis. Then, I made the smooth-test to all the sequences and tested the week-effect by GARCH model. This part has a systematic illustration on the data processing, model building and analysis.The fourth part attempts to explain the empirical results and provide some policy and suggestions to improve the efficiency of the financial market. This article explains the week-effect from three points: the report whitewash hypothesis, the information effect and the behavioral finance. Finally, this part proposes some advices on improving of the audit system for the issuance of securities, standardizing information disclosure system, monitoring the market operations as well as the insider trading and so on. I hope these advices will be useful and provide some theoretical foundation for improving the efficiency of China stock market.