The Study On The Calendar Effect Of CSI Stock Index Futures

With the rapid development of the capital market, in the preparation for years, CSI stockindex futures launched by the China Financial Futures Exchange in April2010finally.CSI300stock index futures is of great significance for the development of the securities market.We try to study specific the week effect, the expiration day effect and the intraday effectwith putting theory into practice. In this paper, using the data from April16,2010to December31,2012, we introduce dummy variable and choose AR-GARCH model to do regression analysisof them. The empirical results show that, the week effect has negative return significantly onMonday. There was significant positive return on Friday. The rate of volume only on Mondaywas significant, but the rate of positions were significant on Monday, Thursday and Friday. Thereturn and the rate of the volume are not statistically significant, but the rate of the position hasthe expiration effect. In intraday effect, the return perform a “W” type，the rate of volume andthe rate of positions perform an oblique and inverted “N” type. In the article, we try to explainthese Calendar effects from the point of view of information accumulation, transaction systemand the psychology of the investor. In finally, according to the analysis and empirical results, wegive some methods to solve the calendar effect.