Study On The Opening And Closing Effects Of China's Stock Market

Since Eugene Fama put forward the efficient market hypothesis,the "calendar effect" of the stock market has always been widely concerned by scholars and investors,because if there is a "calendar effect" in the stock market,it is the negation of the efficient market hypothesis.However,in recent years,a large number of studies have found that the stock market has obvious "festival effect",that is,the market performance before and after some festivals is significantly different from that of other periods of time;"month effect",that is to say,in some securities markets,the average return rate of a particular month is significantly different from that of other months;and "week effect";Internal effect,that is,the average return of the stock market in one day of a week is much lower or higher than that of any other day of a week,and is statistically significantly negative.However,the research on "intraday effect" is rare.With the development of stock market and trading technology,stock trading tends to become more and more frequent.The research on calendar effect of stock market turns to study the Intraday Effect of stock market.This paper chooses the hourly return data of Shanghai Composite Index and Shenzhen Composite Index from 2004 to 2018,and uses ARMA-GARCH-GED model to empirically study the opening and closing effects of China's stock market.According to the choice of different sample periods;this paper studies the overall effect of opening and closing,the difference between bull and bear markets,and the dynamic changes of opening and closing effects in China's stock market.The results show that:(1)the stock index returns and volatility have opening and closing effects on the whole;(2)the performance of the opening and closing effects of the stock market is different during the bull-bear market.The stock index returns have positive opening effects during the bull market,negative opening effects during the bear market,and the opening and closing effects during the bear market.(3)The opening and closing effects of the stock market are characterized by dynamic changes.The changes of the opening and closing effects of stock index returns are ahead of the changes of the trend of the stock index,and there is a certain degree of substitution between the opening and closing effects of stock index returns and volatility.The enlightenment of this study is that different market environments will generate different investor sentiment,and irrational investor sentiment will aggravate market instability.From the regulatory level,the relevant departments and the official media should control their animal spirit in the extreme market environment and play a neutral and calming role in investor sentiment.During the bull market,the regulatory authorities should play a good role in warning the risk,because when the stock market surges and investors'irrational optimism spreads,full risk hints are the best protection for the weak.During the bear market,the regulatory authorities should deal with illegal acts such as insider trading,stock price manipulation and so on,and safeguard the principle of fair trading in the market.For investors,they should abandon speculative thinking,hold long-term investment thinking,not be confused by the temporary rise and fall of the market,adhere to the principle of paying attention to the fundamentals and ignoring the news.