An Empirical Study on The Calendar Effect of The Shanghai Index in China

Aibo Zhang

doi:10.54097/fbem.v9i3.9486

Authors

Aibo Zhang

DOI:

https://doi.org/10.54097/fbem.v9i3.9486

Keywords:

Intra-week effect, Efficient markets, Calendar effect, Shanghai Composite Index.

Abstract

The premise of traditional financial theory is efficient market theory and rational man hypothesis, while the market anomaly which can not be explained by traditional financial theory such as the calendar effect poses a great challenge to traditional financial theory. This paper uses the daily closing price data of the Shanghai Composite Index from December 19, 1999, to May 6, 2022, to investigate the calendar effect of the logarithmic return of the Shanghai Composite Index. The research results show that China's Shenzhen stock market is inefficient and has a negative Tuesday effect, which empirically proves the non-efficiency of China's stock market and the calendar effect in behavioral finance in China's stock market.

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