
160 The Efficiency o f China’s Stock Market
holidays and comparatively low returns after the market opens, even testified in
trading time, are evidence in favour of the closed-market hypothesis.
As discussed in the section of day-of-the-week effects, under the influence of
the settlement procedure, a holiday will postpone receiving cash from selling
shares on the days before market closure. Since shareholders are unwilling to sell
shares, the prices on trading days before market closure should grow by an interest
factor according to the duration of the market closure. Because the A-shares
market in China is operated ...