A Study On Calendar Effect In China's Stock Market Under Different Situation

The core of traditional economics is EMH,which is based on the assumption of perfect rationality.However,traditional economics cannot explain many financial anomalies.Behavioral finance assumes that people are bounded rational,which questions the perfect rationality and decision-making process of individual invesors.Calendar effect is one of the anomalies in the financial market.It includes week effect,month effect,and festival effect.This paper selects the Shanghai Composite Index and Shenzhen Component Index from December 31,2012 to November 30,2018,representing Shanghai market and Shenzhen market respectively,with the demarcation point on June 15,2015.The sample interval is divided into a bull market and a bear market to study the week effect and month effect.The research method is to introduce the EGARCH-M model to analyze.It is concluded that in the bull market,the Shanghai stock market shows significant negative Thursday effect,while the Shenzhen stock market has significant negative Friday effect.In the bear market,the Shanghai stock market does not have significant week effect,and Shenzhen stock market exist significant positive Wednesday effect.In terms of the month effect,in the bull market,the Shanghai stock market does not have a significant month effect,but in the bear market,the Shanghai stock market has significant positive February,July,August,and November effects,whereas Shenzhen stock market do not have significant month effect under different situations.This paper attempts to explain the causes of the calendar effect from the perspective of behavioral finance.This paper studies the calendar effect and its characteristics under different market situations,and verifies the effectiveness of the stock market from a novel perspective.Moreover,the paper has theoretical and practical significance.It is suggested that investors should improve timing ability.It is crucial that financial supervision authorities improve the information disclosure system,educate the investors,and change supervision idea.