Under the background of the CSI 300 stock index futures implementation and operation, based on the nonFriday data, Friday but nondue date data, due date data, from the angle of trading volume, return, liquidity, and volatility, with the WilcoxonMannWhitney Nonparametric Test, Friday effects, stock index futures due date effects and the multi calendar effect in Chinese securities market are studied. The conclusions are drawn as follow: the return effect is significant on Friday; the liquidity effect is significant on the due date; and the volatility effect is significant on the multi calendar day.