Golden Week Effects In Chinese Stock Market

In this paper,the effects of the three Golden Week effects of the stock market as a kind of calendar effect. Research paper makes use of empirical analysis and the analysis tools are Excel and Eviews.5.0 combined. Through repeated verification, I establishment of the chinese stock market’s GED-GARCH model.The main innovations are the following:1. At present, domestic and international research literature on many of calendar effects, but relatively few of the holiday effect, particularly on the festival of domestic less. Domestic research study on the effect of general restrictions on Sunday at the simple figures described. This article specifically to the three golden weeks of combined effect of the Golden Week is the first time, and the more detailed study of the phenomenon;2. We find a significant effect of golden week before and after the Festival;3. Based on the comprehensive model, considering the number of calendar effects (including the effects of week and month effect), and the introduction of time dummies for Golden Week effect of sustainability issues.The inadequacies of this article are the following:1. The theoretical explanation for the lack of effect, although some opinions, but the lack of detailed argument;2. If be able to construct different types of index data (index data, such as small companies, large companies stock data, stock data plate tourism, banking stock index data, etc.) the result will be better.