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The Chinese National Holiday’S Influence On The Chinese Stock Market And Various Industries: An Empirical Analysis

Author

Listed:
  • LAI, Ping-fu (Brian)

    (College of Global Talents, Beijing Institute of Technology, Zhuhai, China.)

  • HUANG, Haoqin

    (United International College, Zhuhai, China.)

  • LIANG, Haobin

    (United International College, Zhuhai, China.)

Abstract

This treatise delves into the ramifications of the Chinese National Holiday on the Chinese stock market and its constituent industries. Employing a sophisticated analytical framework that integrates volatility and the ARMA model as control variables, this study scrutinises the significance of independent variables indicative of the excess return rates on the trading days immediately preceding and succeeding the Chinese National Holiday. The statistical significance of these independent variables substantiates the hypothesis that the Chinese National Holiday exerts a discernible influence on stock returns. Empirical evidence demonstrates that the Chinese National Holiday engenders a significant and positive impact on the overall Chinese stock market and 18 out of 20 selected industries. Moreover, the holiday effect, discernible before 2008, manifests in the form of elevated excess returns for the notably affected stock market and industries, with the effect's significance extending across a broader spectrum of industries.

Suggested Citation

  • LAI, Ping-fu (Brian) & HUANG, Haoqin & LIANG, Haobin, 2024. "The Chinese National Holiday’S Influence On The Chinese Stock Market And Various Industries: An Empirical Analysis," Studii Financiare (Financial Studies), Centre of Financial and Monetary Research "Victor Slavescu", vol. 28(3), pages 26-45, September.
    • Handle: RePEc:vls:finstu:v:28:y:2024:i:3:p:26-45
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    More about this item

    Keywords

    Holiday effect; Chinese stock market; Industrial analysis; ARMA;
    All these keywords.

    JEL classification:

    • G10 - Financial Economics - - General Financial Markets - - - General (includes Measurement and Data)
    • G14 - Financial Economics - - General Financial Markets - - - Information and Market Efficiency; Event Studies; Insider Trading
    • G15 - Financial Economics - - General Financial Markets - - - International Financial Markets
    • G20 - Financial Economics - - Financial Institutions and Services - - - General

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