The Empirical Research Of Shanghai Stock Market Holiday Effect

Efficient market hypothesis is the cornerstone of the modern financial economics and investment theories. It is that price changes can reflect all available information. Although there have been plenty of evidence that the market is efficient, but this hypothesis is not perfect. Since the eighties from the twentieth century, many empirical studies obtain that there are many unreasonable explanation of the phenomenon. In emerging stock markets or other mature stock market, stock returns in the long term has a certain predictable patterns, which run counter to traditional financial theory, especially the efficient market hypothesis. Market vision consists mainly of week effect, weekend effect, scale effect, price-earnings ratio effect, emotional effect, January effect, the holiday effect and so on. Some effects of academic research have achieved fruitful results, but research on the holiday effect is relatively small.Taking stock of China's Shanghai Stock Exchange rate of return of objects, select from the December 27, 1995 to April 10, 2011 data for the study sample, the majority of people ignore the "holiday effect", the study of statutory holidays three days after the first three days and the yield on the day of traditional festivals and holidays, two days after the first two days and festivals, the stock returns, to verify the existence of abnormal returns problem. Using the Friedman test verified the existence of the holiday effect, dummy variable regression test gives the festival and the specific impact of the existence of significant, ARMA model testing is further illustrated in the case of removal of serial correlation on China's stock holiday effect exists in the market and persistence of the empirical analysis to arrive at the Shanghai Stock Market festival. Visions festival of holiday effect poses a challenge to the Efficient Market Hypothesis classic. It led investors to rely on past information to obtain additional income. Investors according to rate of return before and after holidays differences in high yield at selling, buying low-yielding Japanese, so that the failure of the efficient market hypothesis. Therefore, the significance of holiday effect is to verify that the stock market in China is not an efficient market, reflecting the low efficiency of China's Stock Market.