Weekly Calendar Effect Of China's Commodity Futures

In traditional finance theory,the efficient market hypothesis holds that capital market participants have difficulty in obtaining excess returns,and according to the CAPM model,risk is proportional to the return.However,in the real financial world,there are some phenomena that are contrary to traditional financial theories.In recent years,commodity futures are booming in the context of market reform and innovation,and the volume of major commodity futures is generally on the rise.In 2016-2018,commodity futures experienced a "roller coaster" style trend.Under such large fluctuations in the market,the market anomalies have also occurred continuously,which has caused doubts to the effective market hypothesis.This paper selects the "calendar effect" as one of the anomalies to conduct research.A calendar effect is any market anomaly or economic effect which appears to be related to the calendar,including seasonal effects,monthly effects,week effects and holiday effects.Among them,this article only discusses the week effect in the calendar effect.In the theory of the cause of the weekly calendar effect,this paper mainly summarizes the three theories: market signal transmission theory,emotional information theory and information asymmetry theory.In the empirical research section,this paper selects the daily rate of return of six different types of typical futures varieties(Shanghai Gold,Shanghai Copper,Rebar,Soybean,PVC,and Zheng sugar)from July 1,2009 to June 30,2018.Based on the scholars' research on the calendar effect of stocks,commodity future index,and commodity futures,this paper conducts a more in-depth study on whether the six futures have a weekly calendar effect and whether the calendar effect will migrate according to the bulls and bears.As the empirical research indicates,there is a clear weekly calendar effect in China's commodity futures market,which will migrate with the change of market style(bull market,bear market,volatile market).The specific conclusion is divided into two parts:The first is the common conclusion of the commodity futures market: commodity futures have a weekly calendar effect,and mostly happens on Monday;commodity futures will have different calendar effect directions in different market styles,and the migration of the day is relatively less common.At the same time,it is most likely to migrate and disappear when the market style cannot be distinguished.The second is the characteristics of the six major commodity futures: Shanghai gold has the positive calendar effect of Monday in the bull market,but it turns negative on Thursday when in bear market,and the calendar effect disappears in volatile market;Shanghai copper has the positive calendar effect of Monday in the bull and bear market,but the weekly calendar effect migrates to Wednesday when in volatile market;Rebar is relatively stable,no matter what style the market is,it only has calendar effect on Monday,but the bull market is positive and the bear market is negative;Soybean is the same as the Rebar,the calendar effect is relatively stable,apart from the calendar effect on Monday,the negative income anomaly when in volatile market is added;as for PVC,the calendar effect of the interval is not obvious,but in the bull market and the volatile market,it also shows the positive calendar effect of Monday;Zheng sugar is relatively complicated,the calendar effect does not migrate in the bull market,but in the bear market,the calendar effect disappears in the first stage,but appears both on Tuesday and Wednesday in the second stage.Based on the research conclusions,this paper also proposes relevant investment and regulatory recommendations for investors and regulators: For investors,the first thing is to judge the current market state,then is to take different actions when in different market states.If it is a bull market,then the chances of buying in to get excess returns on Monday are significantly higher than the other four days;if it is a bear market,then the chances of obtaining excess returns by short-selling transactions are higher;in the volatile market,as the calendar effect will become inconspicuous and disappear,this requires investors to play according to the situation.This paper also carried out specific investment suggestions for specific six futures varieties.For regulators,it is recommended to improve the accuracy of information disclosed,innovate the modes of supervision,strengthen the functions of exchanges,cultivate diversified investment entities,strengthen investors' participation,and establish a social credit system.