The Study Of Week Effect Of China’s Mental Futures Market

The day-of-the-week effect is the phenomenon that the return rate of a day significantly higher or lower than the other day. The day-of-the-week effect have brought a challenge to the efficient market. Many scholars of the finance have carried out a lot of relevant research and proposed some theories behind the pattern. The day-of-the-week effect is a phenomenon that generally exists in the securities market, But most researchers on day-of-the-week effect is limited to the stock market and fund market,. But there are less study of the metal futures market. But Metal futures market has play a decisive role position in China’s securities market. Whether metal futures market, have the week effect will directly affect the returns to investors and the stability of the market. Based on this phenomenon, This thesis have a research on the mental futures market to ensure whether the future market have the day-of-the-week effect.In this thesis we the daily return rate sequence as a specific measure. We carried out a lot of relevant research on the Chinese metal futures market(Shanghai aluminum copper, zinc,) by GARCH model. We find that mental futures market have the-day-of-week effect. Especially in shanghai copper and shanghai aluminum market. they have the Friday effect. But there are no day-of-wek effect on Shanghai zinc market. The reason may be that zinc futures markets arise later than shanghai copper futures market. And the zinc futures market has become more mature. It also proves that the market is not a efficient market.The week effect reveals that there is a big problem in supervision and disclosure. The investors is not rational when they make investment. In the light of these problems, this thesis puts forward some suggestions in the aspect of the cultivation of institution and individual investment to improve the effectiveness of the market.