Calendar Effect in The Chinese Securities Market

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