Calendar Effect in The Chinese Securities Market

Abstract

The existence of the calendar effect as a market anomaly problem proves that there are loopholes in the Efficient Market Hypothesis (EMH). By studying the calendar effect, scholars can gradually identify and solve the problems of regulatory loopholes and information asymmetry in the financial market. This paper divides the Chinese securities market into stock market, bond market, fund market and financial derivatives market, focusing on the weekday effect and the month effect. By summarizing and comparing the weekday effect and the month effect of the above four sub-markets, the paper shows that the calendar effect is more significant in all four markets on Mondays and Fridays, also January and December. The calendar effect of the four sub-markets is not similar in other periods, which may be due to the fact that each market is affected by uniform regulation and the same policies, but also has its own unique characteristics. The purpose of this paper is to summarize the research results on the calendar effects in the four sub-markets of the Chinese securities market and to promote the development and maturity of the Chinese securities market.