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Abstract
Calendar effects mean that market returns associate with the specific
transaction date in stock market, there’re two important forms: day of the week effects
and month of the year effects.
Daily data from 1991 to 2004 is used for estimation on day of the week effects
and month of the year effects of stock Returns in China. In order to analysis whether
the calendar effects have conversed, the whole sample was divided into four parts
based on the closing quotation to analysis the day of the week effects and month of
the year effects in different periods. The conclusion is that there are weekend effect
and May effect of stock returns in China, reverses of calendar effects have happened
in recent years, so the efficiency of China’s stock market has improved, but it hasn’t
reach to the point of week form efficiency.
The existence of calendar effects reveals that there’re some problems in
information management and behavior of participants in China’s Stoc
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