Calendar Effects Analysis Of Chinese Stock Market Based On Behaviour Finance

Behavioral finance is a new theoretical field compared with traditional financial theory. It is the behavioral science of psychology in particular, into the theory of finance, and from the microscopic behavior of the individual and the generation of this behaviour to explain the psychological motivation to study and predict the development of financial markets.It is a revolution in the field of finance theory. This revolution has evoked strong response in the academic community over the past two decades, challenges the traditional dominance of the financial study, and builds its own theoretical system. It focuses on people's psychological and emotional impact of their investment decision-making, the pricing of financial products, and financial market trends for future development.With the continuous development of financial markets, the conflict between traditional financial theory and the reality of financial markets continues to happen. Investors based on a rational and efficient market hypothesis of the traditional financial theory has suffered an unprecedented challenge. Many empirical studies also show that subjective factors, such as Human behavior, psychological feel, impact financial investment. So investors are always making bounded rationality-decision. The market exist the situation of biases cognitive and bounded rationality. Because of China's securities market's being an emerging market on a period of economic restructuring, it has a clear specificity. Traditional finance theory is difficult to explain the various special phenomenons in Chinese securities markets. The introduction of the Weston behavioral finance theory provides a more convincing explanation on the special phenomenon of China's securities market.The calendar anomalies is a kind of vision can not make reasonably efficient market hypothesis to explain the phenomenon.Behavioral finance as a new school, even with 20 years of vigorous development, but compared to the traditional standard finance system in theory there is a clear difference on, while in China, with the behavioral finance theory to study issues related to domestic Literature is far less than the traditional areas of financial research. Therefore, in reference to others on the basis of analysis of research on the vision of China's securities market such as the presence of calendar effects and the interpretation given in some ways it is particularly necessary. Therefore, the calendar effect in the effect of the week effect, the month effect, the Spring Festival Stocks effect and effect the performance of the stock market in China, tested and tried from the perspective of behavioral finance to explain possible causes are given.The body of this article is divided into four chapters:The first part(chapterⅠ, chapterⅡ) introduces the significance of this article, as well as the literature reviews related to this article at home and abroad and innovative point of this article in a brief introduction. In this part, we searched the literature reviews at home and abroad and current study.The second part(chapterⅢ) of this article can be used as the bedding of the last two parts. This part includes the origin of behavioral finance and development, the core of behavioral finance theory——Prospect theory, behavioral portfolio theory, and behavioral finance to explain the calender effects.The third part(chapterⅣ) of this article, the core section, is divided into three parts:The first part is the selection of the sample data description and construction of market daily return index, the second part of the rate of return by analysis the statistical characteristics and a smooth return series for the next part of pave the way for data analysis, and the third part of the import data to model Effect on week effect, the month effect, the Spring Festival Stocks effect and effect the performance of the stock market in China. These tests confirmed the presence of some calendar effects and from the perspective of behavioral finance to explain possible causes are given.The fourth part (chapterⅤ) is the conclusion, on the basis of the summary of text made a further thought to the calendar effect of the phenomenon of stock market.