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The Holiday Effect in Chinese Stock Markets - Evidence from Shanghai and Shenzhen

In: Economic Management and Big Data Application Proceedings of the 3rd International Conference

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  • Wenrui Cui

Abstract

The holiday effect is one form of the calendar effect, which means the abnormal return or abnormal volatility of the stock market before and after the holiday. The holiday effect can be explained by the behavioral finance perspective. Investors could adopt an active investment strategy to take advantage of the holiday effect and achieve excess returns. This paper examines the holiday effect on the Chinese stock markets of Shanghai and Shenzhen between January 2008 and August 2022. GARCH-Mand EGARCH-M models are used to observe the existence of holiday effects in the mainland Chinese market before and after the Chinese New Year and National Day.The results suggest that a significantly positive Chinese New Year effect exists for 2 days before, 3 days before, and 2 days after the Chinese New Year in the Shanghai market. There is no or very few holiday effect in the Shenzhen market. The positive National Day holiday effect exists 1 day before, 1 day after, and 2 days after the holiday. Besides, the results show that 1 day after the holiday is more volatile than other days around the holiday in Shanghai and Shenzhen stock markets. In addition, the study found evidence of the mainland China market reacting asymmetrically to positive and negative news.

Suggested Citation

  • Wenrui Cui, 2024. "The Holiday Effect in Chinese Stock Markets - Evidence from Shanghai and Shenzhen," World Scientific Book Chapters, in: Sikandar Ali Qalati (ed.), Economic Management and Big Data Application Proceedings of the 3rd International Conference, chapter 51, pages 579-595, World Scientific Publishing Co. Pte. Ltd..
    • Handle: RePEc:wsi:wschap:9789811270277_0051
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    Keywords

    Big Data; Information Management; Economic; Data Applications; Blockchain; E-commerce;
    All these keywords.

    JEL classification:

    • C63 - Mathematical and Quantitative Methods - - Mathematical Methods; Programming Models; Mathematical and Simulation Modeling - - - Computational Techniques
    • C8 - Mathematical and Quantitative Methods - - Data Collection and Data Estimation Methodology; Computer Programs
    • O14 - Economic Development, Innovation, Technological Change, and Growth - - Economic Development - - - Industrialization; Manufacturing and Service Industries; Choice of Technology

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