Week Effect Of The Growth Enterprise Market

Calendar effects has received extensive attention from the investors and researchers as a market phenomenon.Calendar effects effectively reveals the existence of non-validity of the market, such as the incomplete rationality of the investors, and the incomplete and asymmetric information and so on. There is different kinds of Calendar Effect, such as annual effect, month effect, and week effect and so on.They can be studied based on the sample size. Therefore, research of calendar effects is of great importance for improving the efficiency of the stock market, making financial market environment better, distributing the market risk and benefiting reasonably.Previous papers study the brunches of the calendar effect mainly from the perspectives of information flows and investor sentiment,and the meaning of the information flows is real media information flow. On the other hand, with the popularity and rapid development of the network,internet media has gradually become a new way of information transmission,which is so called virtual media information flow.Various types of forums, shares and other web sites provide new platforms for the exchange of information and emotional venting, forecasts and views on stocks spreads efficiently on the internet.The features of constantly updated network emotions fit with the calendar effect perfectly.Thus,the flow of information and network media which contains emotions become a new point of view to study calendar effects.This paper innovatively uses the internet information about the stock market,and build investor sentiment index through the online media text mining, according to the sample size, to study the existence of the week effect of the Chinese GEM market.We use the GEM index from2012.10to2013.9as samples,and grab the posts data of356stocks whose stock ID is from300001to300356in the Guba forum(guba.eastmoney.com),then we classify the posts with the mood of them,and on this basis,we set a mood index.We prove that there exists positive week effect on Monday,the negative calendar effect on Thursday.And on this basis,we further prove that the existence of negative week effect on Thursday has a negative correlation with the abnormalities of the emotional network media information flow on Thursday.and the existence of the positive week effect on Monday has a positive correlation with the abnormalities of the mood index on Monday.This paper is divided into four parts:we interpret the background and significance of the topic in the first part,presenting the ideas and methods to the research, as well as the innovation and difficulties of this study.The second part is the collation and summarize of the relevant literatures. This mainly includes three kinds of literatures:Firstly, the relevant literatures for different types of calendar effects,especially the week effect; Secondly, the literatures of various hypotheses to explain the effect of the calendar,especially the week effect; Thirdly, the literatures for latest theories of effects of the media, especially related to network effects.The third part is the core of this paper, empirical studies of week effects of the GEM market will be done in this part, and on this basis,two aspects of the effect will be researched. The first aspect is the study of the impact on the week effects of the GEM caused by flow of internet information, the second aspect is how the internet emotional influences the week effects of the GEM.In the fourth part, we offer some possible explanations for the findings of the research, and give some suggestions for investors and regulators based on the research.