A Study On The Calendar Effect And It's Influence Factors Of China's Growth Enterprise Market

The GEM is the cradle of hatching scientific and technological enterprises,growth orientedenterprises,it takes the innovative enterprises as the service object,and focus on encouraging the enterprises with independent innovation capability to list,it is a kind of stock market with the characteristics of low threshold,high risk,strict supervision and so on.Since 2009,due to the government's policy support,China's rapid development of the GEM has become an important driving force to promote the development and transformation of economy,it has injected new vitalityfor us to build an innovation-oriented country.After 10 years of twists and turns to prepare,7 years of gradual improvement,China's GEM has received more and more attention from all sectors of society,many domestic and foreign scholars research on it for different issues,hoping that through their research to understand and improve the GEM market,and the study of calendar effect is one of them.Based on existing research,the paper chooses the closing data of China's GEM index from June 1,2010 to November 30,2016,and divides the sample into three intervals by overlapping sample.Using descriptive statistics,ARCH model,GARCH model,TGARCH model,EGARCH model,GARCH-M model to test whether or not China's GEM present calendar effect.At the same time,according to the above test results,we will study the correlation between firm size and calendar effect,and whether the Fama-French three factor model can explain the monthly effect and the weekly effect.The results show that GEM index returnsof Chinahas February effect,Wednesday and Friday effects,and most companies' monthly effect and weekly effect are obvious,only a few small companies' monthly effect and weekly effect are not significant.That is to say,the size of the company is related to monthly effect and weekly effect.In addition,the market factor and scale factor of Fama-French three factors can explain on monthly effect,Wednesday and Friday effect,HML did not explain the effect.Except only a few companies' excess returns of February,Wednesday and Friday can not be explained,the most companies' monthly effect and weekly effect can be explained in other words,the Fama-French risk factor can explain monthly effect and weekly effect to a great extent.Theexistence ofcalendar effect in China's GEM market reveals the non-effectiveness of the stock market,it still needs to be improved in the information disclosure system,investor behavior,trading system and so on.Therefore,according to the research results,we put forward some suggestions to improve GEM market of China.On the one hand,the investors can develop a more efficient investment plan in order to obtain a higher return on investment according to the monthly effect and weekly effect.On the other hand,The authorities should strengthen market supervision,refine the information disclosure system,while strengthen investor understanding of the market,to help the GEM market of China to achieve more effective operation.