The Expected Calendar Effect In Chinese Stock Market

The calendar effect of stock return has significant effects on the Theory of Mar-ket Efficiency. However, whether there is calendar effect like the day-of-the-week effect or the holiday effect in Chinese stock market is still an open question. In this paper, I point out the limitations of the existing literatures, and for the first time examine the day-of-the-week effect and the holiday effect from the perspective of expectations.I adopt the model-free inequality test method to analyze the expected the day-of-the-week effect and the expected holiday effect in Shanghai and Shenzhen stock markets. The empirical study shows that the lowest stock return is most likely ap-pear on Tuesday in Shanghai stock market while in Shenzhen stock market, there doesn’t exists any expected the day-of-the-week effect. There is only expected pre-traditional holiday effect in Shanghai stock market while there is expected s-tatutory holiday and traditional holiday effect in Shenzhen stock market. Besides, the results also suggest that the expected holiday effect has different characteristic-s for different holidays. Specifically, there exists the expected traditional holiday effect but not statutory holiday effect in Shanghai stock market while there exists the expected statutory holiday and traditional holiday effect in Shenzhen stock mar-ket. Furthermore, the Labor Day is the only holiday that has significant expected holiday effect in Shanghai stock market. However, in Shenzhen stock market, the Spring Festival, the Labor Day, the Lantern Festival and the Mid-Autumn Festival are all have significant expected holiday effect. I also prove that the expected holi-day effect is not caused by the closed market during the holidays.