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The Efficiency o f China’s Stock Market
Design o f the holiday effect test
A holiday effect can be detected by significantly difference of returns occurring on
the trading days before holidays and after holidays compared with normal trading
days. The dummy variable regression model in testing the holiday effects is sightly
changed from those in the tests of the day-of-the-week effects and the month-of-
the-year effects:
r?,t ~ a 0 ,i & p r f ^ p r yt ^ p o , i ^ p o ,t & i,t ’ (4.4.4)
where ri t is the return of a share or a portfolio i in a trading day, w pr t is the
dummy variable for pre-holiday trading