The Calendar Effect Related to Firm Size in the American Stock Market

This paper investigates whether the calendar effect exists or not, especially the Monday effect and the January effect in the American stock market by using daily returns and monthly returns of the S&P500 index, the Russell 2000 index, and the NASDAQ index in the period 2012 to 2021. The models used in the paper are the OLS model, the GARCH model and the ARMA-GARCH model. Meanwhile, the dummy variables are inserted into models to identify different date of daily stock returns or monthly stock returns. As a result, it is obviously witnessed that there is no Monday effect and no January effect in the American stock market from 2012 to 2021. Nonetheless, the calendar effect of the large-cap stock index is different from that of the small-cap stock index. For the large cap stock index, there is a existence of the day of the week calendar effect that the average daily return on Friday in the S&P500 index is apparently different from average daily return on Monday. For the small cap stock index, there is a presence of the monthly calendar effect that average monthly return in November in the Russell 200 index is significantly different from average monthly returns in January.