The Research On The Holiday Effect Of Chinese Stock Market

This paper studies the unique characteristics of the festival effect in Chinese stock market.The Shanghai composite index is selected as the representative to study the overall holiday effect of the stock market.The tourism,commercial chain,food and beverage industry and transport service indexes which are related to the festive effect are selected.The daily logarithmic yield of the index of the day before and after the day of the festival is used to study the situation in this paper.This paper also chooses the data of June 1,2007 to June 1,2018,on which the Shanghai composite index and related industry index,use closing price as the basic data,carries on the descriptive statistics to summarize the yield condition before and after the holiday,finally use the ARMA-GARCH model,empirical analysis,respectively to study the conditions of four important festivals and analyses the possible reasons of holiday effect.The Chinese four important festivals are the Spring Festival,New Year's Day,Labor Day and National Day.At the end of this paper,it summarizes the reasons of holiday effect and the characteristics of the festival effect of Chinese stock market.The research shows that the holiday effect which does really exist and different industries also have different festival effect feature which is related to the characteristics of the industry.This paper finds it has significant holiday effect on the National Day except the tourism industry,but it doesn't has any significant holiday effect on the Spring Festival which is different from previous research literature.This paper shows that it's possible to get excess revenue before and after the Festival if the investors choose the suitable strategies.Therefore this paper provides some references for the investors.