Skip to Main Content
The Efficiency of China's Stock Market
book

The Efficiency of China's Stock Market

by Shiguang Ma
November 2017
Intermediate to advanced content levelIntermediate to advanced
302 pages
16h 35m
English
Routledge
Content preview from The Efficiency of China's Stock Market
80
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
Become an O’Reilly member and get unlimited access to this title plus top books and audiobooks from O’Reilly and nearly 200 top publishers, thousands of courses curated by job role, 150+ live events each month,
and much more.
Start your free trial

You might also like

Understanding China’s Economic Indicators: Translating the Data into Investment Opportunities

Understanding China’s Economic Indicators: Translating the Data into Investment Opportunities

Thomas Orlik

Publisher Resources

ISBN: 9781351146913