Abstract: Abstract：The traditional financial theory is based on the efficient market theory and the rational agent hypothesis, while market anomalies like Calendar Effect challenge market efficiency in the real stock market. Based on the EGARCH-M model with a variety of virtual variables, this paper uses Shenzhen Composite Index daily closing price data from December 27, 1996 to December 31, 2016, to investigate calendar effect of logarithmic return rate of Shenzhen Composite Index, including Week Effect, Month Effect, Seasonal Effect and Holiday Effect. The empirical result shows that Shenzhen stock market has positive effect on Tuesday and negative effect on Thursday;the rate of return has high volatility in January but all average daily excess returns in different mouths are neither significant;spring often sees the upward in stock trends, autumn with downwards;with Week Effect controlled, there exists significant positive effect for the holiday excess return in Shenzhen stock market;significant Post-holiday Effect exists in all holidays,while there exists Pre-holiday Effect only in Spring Festival and Qingming Festival.

Key words: Calendar Effect, EGARCH-M model, Leverage Effect