China's Stock Market And Stock Index Futures Market Calendar Effect Research

The traditional finance theory is that the capital market is effective, based on the analysis of the EMH and CAPM. If the market is effective, the risk to the investor and the gains from the market is matched in the capital market. So investors can't get higher gains than the market average revenues based on public information. In the crash happened last year, however, we can see that the Chinese market is effective, crazy rise and crazy down not only make a lot of investors lose everything, also make China faced the volatile economic environment.In the last year, the stock market itself presented many abnormal phenomena such as Thursday's concentrated declines and red envelopes in December. At the same time, the stock index futures market became the target. The introduction of stock index futures wants to make market participants have a way to hedge market risk selection, make the stock market run more smoothly by joining this new type of financial derivatives. But in the last year, we can see clearly that unilateral shorting of stock index futures increased the volatility of the stock market. At the same time, the stock index futures market itself also appeared some abnormal fluctuations, such as stock index futures expiration date effect. At the same time, along with China's economic development, China's stock market and the stock index futures market are very important for China's economic development.With a growing number of market participants, our research is also meaningful. So, based on the above economic vision conjecture and research significance, we start the two markets calendar effect empirical research. Past study of the stock market is more limited in a single stock market and the single average profits. We introduce the fluctuation variance in the research, this article will introduce stock index futures market, and the comprehensive investigation of expected risk and volatility.In this paper, we study the monthly effect of stock market mainly include:(1) the average income and earnings fluctuate.(2)other aspects based on model fitting.The main weekly effect in stock market is:(1) the average income and earnings fluctuate. (2)other aspects based on model fitting.The monthly effect of stock index futures market mainly includes:(1) the average income and earnings fluctuate. (2)other aspects based on model fitting.The weekly effect of stock index futures market mainly includes:(1) the average income and earnings fluctuate. (2)other aspects based on model fitting.