The paper uses rolling sample tests to investigate calendar effect in Chinese stock market, the method is very suitable for emerging market. We utilize GARCH （1,1）- GED model to identify the time varying nature of c...The paper uses rolling sample tests to investigate calendar effect in Chinese stock market, the method is very suitable for emerging market. We utilize GARCH （1,1）- GED model to identify the time varying nature of calendar effect. Friday effect existed with low volatility at the early stage, but it seems to disappear since 1997, and positive Tuesday effect began to appear then. There is small firm January effect with high volatility.展开更多
文摘The paper uses rolling sample tests to investigate calendar effect in Chinese stock market, the method is very suitable for emerging market. We utilize GARCH （1,1）- GED model to identify the time varying nature of calendar effect. Friday effect existed with low volatility at the early stage, but it seems to disappear since 1997, and positive Tuesday effect began to appear then. There is small firm January effect with high volatility.
