Empirical Study Of Chinese Stock Market Holidays Effects

Chinese stock market as an emerging market, whether the weak form efficient market theory has been an important research topic, due to the special nature of its regime unique cultural characteristics, making China’s stock market has not identical with the Western countries market vision. The vision of the market research will help us to deepen the understanding of the classical financial theory, and help us to improve China’s stock market and understanding investor’s behavior. Therefore, the validity of Chinese stock market has great theoretical and practical significance.Holiday-effect, the existence of excess returns and volatility anomaly after being a statutory holiday, including the pre-holiday effect and the holiday effect. This paper studies the validity of the theory of capital markets, domestic and international literature review of the theoretical basis, combined with the actual situation of China’s stock market, use the Shanghai and Shenzhen300index,data from April2005to February2014in Shanghai,using descriptive statistics, virtual least squares method and GARCH model to do the empirical analysis. The empirical results advocate that:China’s stock market exists holidays-effect, different holiday has different holiday-effect forms, the Spring Festival, May Day, Nation Day with obvious pre-holiday effect, before the New Year holiday effect is not obvious. After the Spring Festival,with a significant negative abnormal returns, afterNation Dayanomalies have a high false positive rate of return, and New Year’s Day, after the May Day holiday also showed higher than normal trading day yields.