一、简介“日历效应”(calendar effect)是现代金融学研究中一种奇特的现象,是金融市场微观结构理论研究中的重要发现,数十年来一直是国内外众多学者的重要研究课题之一。它一般是指股票或相关衍生品收益率与时间有关,即在不同时间周期里,投资的收益率存在明显的系统性差异或者共同的特征。包括季节效应、月度效应、周内效应以及假日效应。 I. Introduction The “calendar effect” is a peculiar phenomenon in the study of modern finance. It is an important discovery in the study of the microstructure of financial markets. It has been an important research topic for many scholars both at home and abroad for decades one. It generally refers to the stock or related derivatives yield and time-related, that is, in different periods of time, investment returns have obvious systematic differences or common characteristics. Including seasonal effects, monthly effects, weekly effects and holiday effects.