The Empirical Research On Calendar Effects Of Futures Market Returns

The calendar effect is the phenomenon of market returns can get theexcess yield at a particular time, there are two mainly forms: Januaryeffect and week effect.In this paper, Studies have shown that the Chinese futures marketshowed a significant week effect. But the foreign futures market showedbetter maturity and higher the effectiveness of the market, most of thefutures in foreign markets did not show a significant week effect.Meanwhile, the January effect in the domestic and international futuresmarkets were not particularly significant in the data to be investigated.