The Calendar Effect Of Chinese Stock Marckt

According to the Efficient Markets Hypothesis(EMH),in the capital market,the return of the investors is associated with the risk,which means the market participants could not beat the market to get more profit.However,there are some abnormal fluctuations after the initial stage of the Chinese stock markets which include the crisis in 1992?1993?2001?2008 and 2015.During these crisis,the price of stocks decrease rapidly,and following by a subsequent turbulence of the national economy.The EMH is the focus in the field of economy.Our stock market has experienced an unwarned crisis in last year,with the result of a large number of stocks fell in a short period which case the loss of money among investors.Therefor,the volatility is not only related to the economic development but also practical meaningful for investors.The calendar effect is a kind of abnormal vitality,specifically,the stock price,variance or trading volume have relationship with the weeks,months,seasons,holidays,etc.The daily return rate of the Shanghai composite index and Shenzhen component index between 2009 and 2017 are selected as the sample in this essay,and the method model include GARCH(1,1),TGARCH,EGARCH and GARCH-M.The analysis of the weekly,monthly effects and characteristics of Chinese stocks market is given below.Furthermore,there are some suggestions towards government and investors in the last part.This essay is composed by 7 chapters.The first chapter is introduction,which mainly expounds the background and the significance of research,which following by the frame structure of this essay.At the end,there are innovation and limitation.The second chapter is the literature review,which mainly divided into two parts.The first part is the foreign literature review,which includes the development of the calendar effect research in this field and the research on the calendar effect of the stock markets in other countries.The second part is domestic literature review.There are the research and development of the calendar effect of Chinese stock markets and other markets.The third chapter is the main part of this article.First of all,it gives a brief description of the concept of calendar effect.Secondly,there are introduces about the serial autocorrelation and heteroskedasticity effects of time series data.Thirdly,the introduction of the model which used in this essay are shown,the GARCH(1,1),TGARCH,EGARCH,and GARCH-M,which have different features.The fourth chapter is the introduction of the preliminary processing and analysis of data.First,the reasons for the select this sample and the method to handled are explained.Secondly,there are the basic characterization,autocorrelation with sequences,and heteroscedasticity tests.Thirdly,the researching about whether the GARCH model can eliminate the autocorrelation and heteroskedasticity effect are showing,which shows the reason for using the model.The fifth chapter is an analysis of the monthly effect of these data.The analysis results show that the Shanghai index has positive February and positive July effects,and the Shenzhen Composite Index has positive February,July and November effects.The sixth chapter is the analysis of the weekly effect.The Shanghai Composite index has positive Monday,February effect,and negative April effects.In the other hand,the Shenzhen Composite Index is a special case,and there are special fluctuations in all the days during a week.And as the yield on Monday is the most one in one week,there are positive Monday effect in this market.The seventh chapter is the analysis of the causes of the calendar effect and the investment and policy recommendations.In general,The analysis shows that there are positive February July and Monday effects in both 2 stock markets.At the same time,after using TGARCH and EGARCH models,there is no asymmetric effect of information transaction in the Shanghai Composite Index.However,the leverage effect under theasymmetric information model is showing in the Shanghai Composite Index by analyzing with GARCH-M model.Finally,the Shanghai Composite Index shows a positive relationship between income and risk,and the Shenzhen Composite Index shows not that by using GARCH-M.