Calendar effect refers to the phenomenon that the market yield or volatility is obviously different from other trading days in a certain period, and this effect persists. The manifestations of calendar effect are: January effect, month effect, Sunday effect, holiday effect and so on. The weekly calendar effect means that the rate of return in a certain period of a week is obviously higher or lower than that in other periods. This paper mainly discusses the study of Sunday effect of return. In China, the research on the weekly calendar effect mainly focuses on the stock market. Due to the short launch time and limited data samples, the research on stock index futures is still relatively few.