| Capital market in our country entered the period of high-speed development in recent years, constantly improving the trading system and enriching financial products. Csi 300 stock index futures trading, after many years of preparation and simulation on April 16, 2010, the Shanghai and shenzhen 300 index futures in China international futures exchange trading, this is the first to launch stock index futures i n China securities market products, in the development of the whole financial market has the milestone significance.This paper tries to closely combine the theories with actual situation, taking three time periods as the benchmark, study and verify the Cal endar Effect of Shanghai and Shenzhen 300 index futures by month, week, and day.Based on the sufficient research on capital market calendar effect, on the basis of related literature,it can be found that the calendar effects are ubiquitous among stock, bond, futures and fund market, but showed different forms in different markets. Expounding the theories of effective market, market vision and many explanation theories of calendar effect, which would lay a solid theory foundation for the subsequent empirical results analysis. Then, combing, summarizes the development background of stock index futures, and csi 300 stock index futures trading mode in our country, and from the transaction data and investors to analyze its operation situation.This paper uses the five-year data of the closing price, volume and holdings of S & S 300 stock index futures as the sample.(From April 16, 2010 to April 1, 2015). According to the continuous volume-weighted data, introducing virtual variables, and doing regression analysi s of these three variable by modified AR – GARCH model. The empirical results show that week effect exists on the first two days of a week and Friday as well. Return, volume and holding rate were remarkable on Tuesday and Friday, and holding rate is also s ignificant on Monday. In terms of month effect, Mach, June and October are very obvious. Return showed a trend of decline after the lunar New Year, mid-year roughly minimized; volume performed the most active in February and March; the holdings peaked in O ctober. Day effect appeared in the opening and ending period, return appears the shape of "W", while the changing rate of volume and holding presents the left-leaning "N" type.This paper thinks that week effect is mainly caused by the flow of information transmission, the influence of the global financial market and investor psychology; and month effect exists because of the money demand, our country's traditional culture and together with people's emotional issue; day effect is largely derived from our country's special trading system, the linkage to spot market and ?herd behavior?. Each participation of the market, therefore, should work together to fully implement the price discovery and hedging effect, which would promote the overall development of the financial markets. Investors should update their knowledge and try to be rational, especially institutional investors need to strengthen innovation; while regulators should control the market in an all-round manner, from the early access to the late monitoring; besides, intermediary service agencies and international capital also should strengthen the participation; and the establishment of social credit system is in urgent. |
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