An Empirical Study On The Calendar Anomalies-Based On Shanghai And Shenzhen 300 Index

Calendar effects are the phenomenon that investors can obtain excess returns in some particular period. As one of the market anomalies, the calendar effects have brought a challenge to the efficient market hypothesis. To prove the presence of calendar effects, and take out some reasonable interpretation, many scholars of the financial have carried out a lot of relevant research.China issued the Shanghai and Shenzhen 300 index on April 8,2005, and then officially launched futures contract based on the Shanghai and Shenzhen 300 index on April 16,2010. The introduction of these derivative products will fundamentally change the status of China's securities market, which means a lot to the improvement of securities market and its reform. However, it is uncertain that weather the calendar effects exist in the Shanghai and Shenzhen 300 index or weather the delivery of stock index futures impacts the spot market. The answer to these problems will seriously affect the stability of the stock market as well as the returns to investors.In this paper, the author chooses Shanghai and Shenzhen 300 index return as the sample data, using statistical methods to prove the existence of the day-of-the-week effect and delivery-day effect. To prove if the efficiency of the stock market has been improved or not since the sub-prime mortgage crisis, the author divided the total sample data into three different intervals according to the market environment, and then made an empirical test to all of the three intervals, gave a comparative analysis to their results. The results show that there is a significant day-of-the-week effect in China's stock market, but the effect has reversed after the sub-prime mortgage crisis.The results also show that the delivery-day effect doesn't exist in the Shanghai and Shenzhen 300 index. The existence of the day-of-the-week effect and the occurrence of reversal indicate that the efficiency of China's stock market has improved, but has not reached the stage of weak-form efficiency.The existence of calendar effects reveals that there are some problems in information management and behavior of participants in China's Stock Market, so some advices is stated in the last part of the thesis to improve the efficiency of China's Stock Market.