This study tests the presence of the day of the week effect about the next day(from close to close)return and volatility,the trading periods(from opening to close)return and volatility,and the non-trading periods(from close to opening)return and volatility on Shanghai futures market for.

This study investigates the day of the week effect in the Shanghai Stock Market.

This paper investigates the day of the week effect of return and volatility from the establishment of Shang- hai Gold Market to June 2007,and the relationship between London and Shanghai Gold Markets at the same period for the first time.

Firstly,dummy variables are introduced in the regression to analyze the calendar effect of specific trading days.

Unlike low frequency data,high frequency data has the calendar effects and long memory volatility.

In this paper,we compare realized volatility and weighted realized volatility from four aspects: defnition,bias,efficiency and calendar effect.

High-frequency financial data analysis and modeling is a new research field in financial econometrics,and the calendar effects are most important discovery in financial market microstructure field.

Calendar effects mean that market returns associate with the specific transaction date in stock market, there re two important forms: day of the week effects and month of the year effects.

This paper tries to expound the historical effect of German social legislation from a viewpoint of the rising and coordination of the inner contradictionbetween production forces and production relations of capitalist societies.

The recent demonstrative research on weekend effect in cow market of shanghai stock market;

The weekend effect was analyzed.

This paper makes an empirical study on the weekend effect in the construction field on Shanghai security market.