Holiday Effect in Chinese Stock Market: Based on GARCH Model

摘要

The holiday effect in Chinese stock market was studied in this paper based on the Shanghai Composite Index from 1997, 1 to 2009, 11. We got the following conclusions using Mann-Whitney U test, White test and LM test: Chinese stock market has both pre-holiday effect and post-holiday effect; both week effect and January effect don't affect holiday effect; the closing effect has no influence on pre-holiday effect.