The Pre-Holiday Effect in China: Abnormal Returns or Compensation for Risk?

Tian Yuan (), Rakesh Gupta () and Robert Bianchi
Additional contact information
Tian Yuan: Fixed Income Department, Guosen Securities 6, Xingsheng Street, Beijing 100033, P. R. China

Review of Pacific Basin Financial Markets and Policies (RPBFMP), 2015, vol. 18, issue 03, 1-28

Abstract: This study examines the pre-holiday effect in the Chinese stock market. It provides new insights into the weak-form efficiency of China's equity market indexes. Using the GARCH (1,1) model, we find the pre-holiday effect in broad-based Chinese stock returns and in size, value and growth style indexes. Further analysis using a GARCH (1,1)-M model suggests that the pre-holiday effect at both market and industry/sector levels can be attributed to time-varying risk. We show the pre-holiday effect reflects abnormal returns in small-cap, large-cap and growth style indexes while this same effect reflects compensation for bearing risk in value stocks.

Keywords: Chinese stock market; weak-form market efficiency; pre-holiday effect; volatility; GARCH-M (search for similar items in EconPapers)
JEL-codes: G1 G2 G3 (search for similar items in EconPapers)
Date: 2015
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (2)

Downloads: (external link)
http://www.worldscientific.com/doi/abs/10.1142/S0219091515500149
Access to full text is restricted to subscribers

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:wsi:rpbfmp:v:18:y:2015:i:03:n:s0219091515500149

Ordering information: This journal article can be ordered from

DOI: 10.1142/S0219091515500149

Access Statistics for this article

Review of Pacific Basin Financial Markets and Policies (RPBFMP) is currently edited by Cheng-few Lee

More articles in Review of Pacific Basin Financial Markets and Policies (RPBFMP) from World Scientific Publishing Co. Pte. Ltd.
Bibliographic data for series maintained by Tai Tone Lim ().