The Research Of The Impact On Calendar Effect Of A-share Market In China Caused By The Firm Size

Fama?1970?proposed the Efficient Market Hypothesis,but it's found in the following research of the majority of scholars that there are many anomalies in the market that do not conform to the Efficient Market Hypothesis,and one of them is the calendar effect^[1].Results of the research on the?calendar effect?are beneficial to obtaining the effectiveness of A-share market in China,standardizing and perfecting the financial market system,improving the operating efficiency of the stock market,and helping policy makers to formulate more effective policies.The paper selects the daily yield data and monthly yield data of the China A index from January 4,2006 to February 28,2019,to represent the overall level of China's A-share market.The ARMA model,GARCH model,and the combination of them are used to study whether there is a calendar effect in China's A-share market.The paper only studies the?weekly effect?and the?monthly effect?of the calendar effect.Then we will further study the calendar effect of China's A-share market and analyze the impact of the firm size on the calendar effect of China's A-share market.The paper Select the yield data of the four CSI scale index,which are CSI100,CSI200,CSI500,CSI1000,ranking by market value,from January 4,2006 to February 28,2019,representing the different scales of companies.Using the previous idea of model building,to obtain the conclusion of the calendar effect of the four CSI scale index return rate,and analyze the impact of the firm size on the calendar effect of China's A-share market by comparing with the relevant calendar effect of them.According to the empirical results,the paper has the following three conclusions:First,there is a positive?Monday effect?and a negative?Thursday effect?in the overall performance of China's A-share market,but no significant?monthly effect?,which are explained from the timing of policy release,the specific?T+1?transaction system of china's A-share market.Second,small cap company can magnify the negative?weekly effect?,but suppress positive?weekly effect?,which are explained from the perspective of the composition of A-share market investors and the Behavioral Finance Theory.Third,?February effect?occurs to small cap company,nevertheless,bigger one don't,which are explained from the perspective of the Behavioral Finance Theory,the?Spring Festival effect?and the?Windows Dress Effect?.Finally,the paper proposes relevant suggestions based on the research conclusions.