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Academic Journal of Business & Management, 2024, 6(1); doi: 10.25236/AJBM.2024.060126.

A Study of Calendar Effects in China


Guotai Zhong

Corresponding Author:
Guotai Zhong

School of Economics and Management, Guangxi Normal University, Guilin, 541004, China


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".


bar effect; volatility agglomeration; expectation risk

Cite This Paper

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.


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