Proceedings of the 4th International Conference on Economy, Judicature, Administration and Humanitarian Projects (JAHP 2019)

Empirical Study on the Calendar Effect of CSI 300 Stock Index Futures

Authors
Wei Li
Corresponding Author
Wei Li
Available Online September 2019.
DOI
10.2991/jahp-19.2019.63How to use a DOI?
Keywords
calendar effect; dummy variable regression; GARCH-Model
Abstract

This paper aims to study the calendar effects of CSI 300 stock index futures, taking the trading data of CSI 300 Index futures contracts as samples, and do empirical analysis with the least squares regression method and GARCH model. The results show that: the logarithmic return rate of CSI 300 index futures has obvious week effects, including a negative effect on Monday and a positive effect on Friday; the rate of turnover change has obvious week effects, the specific performances are the negative effect on Monday and the positive effect on Thursday; the rate of position change has significant week effects, showing a negative effect on Tuesday and a positive effect on Friday. This paper argues that the calendar effects can be explained from the perspective of the non-effective market and behavioral finance.

Copyright
© 2019, the Authors. Published by Atlantis Press.
Open Access
This is an open access article distributed under the CC BY-NC license (http://creativecommons.org/licenses/by-nc/4.0/).

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Volume Title
Proceedings of the 4th International Conference on Economy, Judicature, Administration and Humanitarian Projects (JAHP 2019)
Series
Advances in Economics, Business and Management Research
Publication Date
September 2019
ISBN
978-94-6252-789-8
ISSN
2352-5428
DOI
10.2991/jahp-19.2019.63How to use a DOI?
Copyright
© 2019, the Authors. Published by Atlantis Press.
Open Access
This is an open access article distributed under the CC BY-NC license (http://creativecommons.org/licenses/by-nc/4.0/).

Cite this article

TY  - CONF
AU  - Wei Li
PY  - 2019/09
DA  - 2019/09
TI  - Empirical Study on the Calendar Effect of CSI 300 Stock Index Futures
BT  - Proceedings of the 4th International Conference on Economy, Judicature, Administration and Humanitarian Projects (JAHP 2019)
PB  - Atlantis Press
SP  - 290
EP  - 294
SN  - 2352-5428
UR  - https://doi.org/10.2991/jahp-19.2019.63
DO  - 10.2991/jahp-19.2019.63
ID  - Li2019/09
ER  -