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| Type | Master's Thesis |
| Scope | Discipline-based scholarship |
| Title | A Systematic Research on the Holiday Effect on China Stock Market |
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| Institution | University of Zurich |
| Faculty | Faculty of Business, Economics and Informatics |
| Number of Pages | 162 |
| Date | 2023 |
| Abstract Text | This paper implements systematic research on the holiday effect in China stock market. First, considering other anomalies in the stock market, this paper analyzes the overall holiday effect on the two main stock indices of SSE and SZSE, SSCI and SZSCI, from January 2000 to December 2021. During this period, the pre-and post-holiday effect can be observed in both SSE and SZSE. Subsequently, several influencing potential factors of the holiday effect are considered: Sophisticated investors seem to be impacted less by the holiday effects. The holiday effects also demonstrate enormous divergences in various industries. The holiday effects are correlated to the firm sizes. Further, the holidays in China are distinguished into seven different statutory holidays, and their effects on the stock returns are analyzed respectively. Then, this paper finds that no holiday effect (except the post-QM holiday effect) exists when there is no holiday on a specific day through special case analysis. At last, three periods of analyses indicate that most holiday effects are alleviated over time in SSCI, except for the post-QM effect. The methodologies in this paper are descriptive statistics, non-parametric tests, OLS models, Stable Paretian Distribution, Noncentral t Distribution, ARMA-eGARCH-sstd, and ARMA-apARCH-(M)-sstd. Key Words: Holiday Effect, China Stock Market, SSCI, SZSCI, Statutory Holidays, descriptive statistics, non-parametric tests, OLS models, Stable Paretian Distribution, Noncentral t Distribution, and ARMA-GARCH-clusters |
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