Empirical Analysis of Holiday Effect on Chinese Baijiu Stocks

Zongya Chen (), Luyun Zhang and Fangming Li
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Zongya Chen: Shanghai University of Finance and Economics, School of Accounting
Luyun Zhang: University of Science and Technology Beijing, School of Economics and Management
Fangming Li: University of Manchester, School of Social Science

A chapter in Proceedings of the 2022 2nd International Conference on Financial Management and Economic Transition (FMET 2022), 2023, pp 199-209 from Springer

Abstract: Abstract The baijiu sector is a representative segment of the Chinese stock market. In 1994, the first Baijiu stock “Shanxi Xinghuacun Fen Wine Factory” was successfully listed on Shanghai Stock Exchange. After that the segment faced rapid development, increasing the number of related shares listed successfully. In 2022, the number of stocks in the sector has increased to 40. From an industry perspective, this paper takes Baijiu stocks listed on Shanghai Stock Exchange and Shenzhen Stock Exchange for more than 10 years between 2013 and 2022 as samples and analyzes the pre-holiday and post-holiday returns of Baijiu stocks by using the event analysis method. By comparing the abnormal returns, it is proved that the Baijiu sector is affected by the festival effect.

Keywords: Holiday Effect; Baijiu Industry; Quantitative Analysis; Event Study (search for similar items in EconPapers)
Date: 2023
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DOI: 10.2991/978-94-6463-054-1_23

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