The Weekend and Month of the Year Effect: Evidence from Chinese Equity Fund Markets

In this paper, we empirically examined the weekend effect, month of the year effect and week of the month effect in Chinese stock market. The sample consists of the open end and closed end funds listed in both stock exchanges and the fund index adopted as well to be of the comparison. The evidence shows that there is calendar effect in Chinese stock market. It suggests that the average daily returns of Monday of the fund index and most of the sample open end funds are rather higher than those of other days within the week. Furthermore, their returns in the first half of the month are lower than those in the last half with the month. Regarding the closed end funds, their average monthly returns reach the maximum and the minimum respectively in March and August.