Abstract: The weekend effect,together with other marker effect(such as P/E effect and small sized company effect)is called Market Anomalies,which play a very important role in the study of efficient market hypos(EMH). Based on the standard random walking model,we use the latest data of Shanghai and Shenzhen stock market to do an empirical study,in order to find out the existence of a weekend effect in China’s stock market.We also provide some useful suggestion on whether China’s stock market has reached the status of "weak form of efficient market".

Key words: market anomalies, weekend effect, random walking, weak form of efficient market