This paper conducts an empirical study on whether there is a significant calendar effect in the electronics industry in China's main board market. This paper examines whether there is a week effect in this industry and analyzes its specific features and commonalities through the EGARCH-M model based on the t-distribution. Considering the specificity of China's stock market, our sample interval is selected as January 4, 2000-February 25, 2020. After the empirical test, we can find strong evidence that there is a calendar effect in this industry. This effect is characterized by a significantly negative "Thursday effect".

Guotai Zhong. A Study of Calendar Effects in China. Academic Journal of Business & Management (2024) Vol. 6, Issue 1: 178-184. https://doi.org/10.25236/AJBM.2024.060126.

[1] Zhang Bing. (2005). A study of calendar effects in the Chinese stock market: An approach based on rolling sample tests. Financial Research, (07):33-44.

[2] Yu Qiao. (1994). Market efficiency, cyclical anomalies and stock price volatility--an empirical analysis of Shanghai and Shenzhen stock markets. Economic Research, (09):43-50.

[3] LIU Jinquan, CUI Chang. (2002). An empirical analysis of return and volatility in China's Shanghai and Shenzhen stock markets. Economics (Quarterly), (03):885-898.

[4] Feng Licheng. (2000). The "intra-week effect" in the Chinese stock market. Economic Research,(11):50-57.