A-share Holiday Effect Study

At the beginning of 1970s,the famous American economist Eugene Fama hypothesized stock price impact factors--efficient market hypothesis.The central idea of this hypothesis is that any investment will be rewarded with the equivalent of its risk,which is corresponded to the high risk and high yield that people often say.In the later stage,when investors buy stocks,they are guided to buy decisions based on some effective information they have grasped rather than on the trend of stock prices studied.However,as time goes on,the financial market is also expanding.There are more and more factors that affect the stock price.Many investors get huge and excess investment returns through some channels.This can not be explained by the effective market hypothesis,so the hypothesis’s correctness will be doubted by economists.Holiday effect is a manifestation of market value anomalies,which can also confirm the impact of stock market change in western financial market.This paper mainly studies the influence of Festival effect on China’s stock market,and analyzes its existence and how it will affect the change of stock price.The purpose of this paper is not only to judge the existence of holiday effect,but also to provide investors with more complete information,analyze the stock market in many ways,take into consideration various factors,and bring more profits to investors.A study on the holiday effect has precedent at home and abroad,this paper takes it as the reference,in combination with the efficient market hypothesis,by April 8,2005 to June 30,2017 in Shanghai and Shenzhen 300 index,the festival chose the new year and Spring Festival,labor day and National Day these four statutory holidays,the article first to collect stock price returns under various festivals the data,followed by the analysis of its data,determine the statistical model of the application will eventually be applied to the Chinese stock market.The test methods used in the analysis of data are stability test and heteroscedasticity test.The model used is the GARCH model,in order to make analysis more accurate on the fixed variables,this paper set up a dummy variable,the research still exist many shortcomings,especially the importance of theory and practical application of the holiday effect,further research.