Analysis On The Calendar Effect Of SEE 50 ETF

In order to understand whether there is SEE 50 ETF calendar effect in the operation, according to the general rules of calendar effects provide trading strategies based on noninstitutional investors and enhance its indexation investment returns in the market which in the environment of abnormal fluctuations. In this paper, the author chooses daily return of SSE 50 ETF as the sample data during 2007-2015, through modeling the ARCH model and GARCH model to fitting the sample data, and using statistical methods to prove holiday effect and weekend effect, which making the corresponding trading strategies for the institutional investors based on empirical results. The content and structure is as follows:In the first part, the background, significance, research review, innovation content and other issues were introduced by author. Among them, the most important innovation is focused on the research results to guide trading strategy; In the second part, theoretical basis of calendar effects were introduced in detail, then lists and explains some of the common types of calendar effects, but also from the views of the traditional financial markets theory and financial market anomalies to explain the causes of calendar effect; The third part shows the selection of sample and determination of the return, then describes the GARCH model and the reason for the choice of it; The fourth part tests the SEE 50 ETF returns data series, then through establishing GARCH model with dummy variables empirical test calendar effects and combined with detailed charts to explain the empirical results. The results showed that the SSE 50 ETF have significant positive effect before the Spring Festival, significant positive effect on National Day before and after and significant positive effect on the Friday. It is enough to illustrate the SSE 50 ETF does exist the phenomenon of abnormal fluctuations in the operation process; The fifth part analysis the reasons for the week holiday effect and holiday effect of the SSE 50 ETF which combination of historical results on the academic and test results, then combined with the existing risk management tools to develop appropriate investment strategies for non-institutional investors based on test results. Finally, this paper present the deficiencies which selected variables is insufficient and did not permit a detailed analysis on SEE 50 ETF performance under different market conditions, while the calendar effect and ETF research and development to make future prospects.