The Empirical Research On Calendar Effects Of Gold Spot Market Returns In China

In the efficient market, information should be fully reflected to the price offinancial assets, nobody can use the information of the past, the public informationand insider information to earn extra income. Efficient market hypothesis (EMH) isone of the important parts of modern financial theory. But with the furtherdevelopment of research,more and more market anomalies on the financial marketbegan to challenge the theory of efficient market hypothesis, market anomaliesbecome one important part of studying efficient market hypothesis. Among them,calendar effect is one of the important anomalies of the financial market.Day of the week effect has vastly been investigated for stock markets, but gold spothave got less attention in this regard.We select the data of the China gold spot marketfrom2002to2012to test the calendar effect of gold spot market of our country inempirical research. The research of the calendar effect includes week effect, montheffect and holiday effect. From the research we can judge whether the calendar effectof China gold spot market exists or not. In the empirical test, we find that China goldspot market has significantly positive “Monday effect" and “Thursdayeffect”;positive “after the National Day effect”, positive “after the Spring Festivaleffect" and negative “before the National Day effect”; positive the “August effect”,“September effect”,“November effect” and the “February effect”.Through theempirical validation of the China gold spot market,we can find that the gold spotmarket is not effective,which are not true in the weak form effective phase. Theefficiency of the china gold spot market needs to be improved.From the results of empirical test, we put forward some suggestions for investors toimprove their investment,and try to explain the reason of the calendar effect of chinagold spot market. Then，the paper put forward some Suggestions to improve theefficiency of China’s gold spot market.