Research On Calender Effect In China Stock Market

The foundation of traditional finance is based on the Efficient Market Hypothesis(EMH)proposed by Fama in 1970.Fama's definition of an effective market is that if all the information in a stock market is fully and quickly reflected in the prices of stocks and securities,that is,the stock price reflects all the information available,then such a market is said For an effective market.However,since the 1980 s,scholars from various countries have found many visions in the financial markets.The emergence of these visions has challenged the effective market hypothesis.As one of the visions of the market,scholars from all over the world made many discussions on the calendar effect.The calendaring effect was first discovered when researching stock returns,referring to the anomaly related to dates,ie yields were significantly above average at a particular time.Calendar effects include the weekly effect,the weekend effect,the monthly effect and the monthly alternating effect.This paper selects the yield data of the Shanghai Stock Exchange from the first trading day in 2000 to the last trading day in 2017 and analyzes the calendar effect of the stock market in China.In addition,this article also divides the sample data into two sub-intervals to study the changing characteristics of the effect over time.In the empirical weekends effect,we test the assumption of transaction time and calendar time to find out which hypothesis the yield mechanism of China's stock market accords with.In the study of the alternation effect on the moon,this paper studies the influencing factors including the stock price,the price-earnings ratio and other characteristics.Based on the previous scholars' studies,this paper discusses the alternation effect on the moon in more depth.After empirical research,we find that there is a significant calendar effect in our stock market.The specific conclusions of the study include: the stock market of our country has a significant positive Wednesday effect and a significantly negative Thursday effect,and the effect of the week gradually increases with the passage oftime.There is no significant weekend effect in our country's stock market,That is,the yield is generated by the trading day,and the two-day weekend has no significant effect on the rate of return.There are significant positive February and June negative effects in China's stock market.There are indeed significant Monthly alternative effect,showing the average return rate of the first three trading days of each month and the last trading day of the previous month was significantly higher than that of other trading days;the effect of monthly alternation was not limited to large-cap stocks or small-cap stocks;In high-priced stocks or low-priced stocks;not only in high-PE or low-PE stocks;not in the high risk of alternating days;not in quarterly or annual alternations;not only in the Shanghai stock market,Shenzhen and Hong Kong also exist on the effect of alternating month.Based on the conclusions of this article,we put forward the following policy recommendations: improve the regulatory system and information disclosure system;promote financial innovation,enrich and improve various financial instruments;strengthen the construction of market environment and pay attention to the training of rational investors.