Empirical Research On The Effect Of China's Shanghai And Shenzhen Index The Week

In recent years, scholars researched the stock markets and successively found many market visions that the standard finance theory can not explain, calendar effect of week is one of market visions. Scholars have done a large number of empirical study on calendar effect of week, and attempt to explain this phenomenon. At present, scholars have found calendar effect of week in Chinese stock market. The purpose of this study is to detect and characterize calendar effect of week in time-series observations of stock market returns in China. In order to research the influence of reform of the shareholder structure to Shanghai and Shenzhen index, this study selects closing data in 1999 to 2011, and divides the whole sample into two samples by reform of the shareholder structure.Firstly, elaborate the basic phenomenon of calendar effect, and interpret it from the perspective of behavioral finance; Then, analysis calendar effect of week about three sample from the perspective of return and volatility, and empirically examine calendar effect of week by means of three kinds of modified GARCH models; At last, explains calendar effect of week in Chinese stock markets, and propose policy recommendations. The results shows that calendar effect of week is related to sample, three samples emerges different phenomenons, and before reform of the shareholder structure, Shanghai index and Shenzhen index exist significant differences, but after it, two index demonstrate a high degree of consistency:show clear positive Monday effect from the perspective of return and clear negative Tuesday effect from the perspective of volatility.