Holiday Effect in Chinese Stock Market: Based on GARCH Model

摘要：

The holiday effect in Chinese stock market was studied in this paper based on the Shanghai Composite Index from 1997, 1 to 2009, 11. We got the following conclusions using Mann-Whitney U test, White test and LM test: Chinese stock market has both pre-holiday effect and post-holiday effect; both week effect and January effect dont affect holiday effect; the closing effect has no influence on pre-holiday effect.

关键词： mann-whitney U test lm test GARCH model week-effect closing effect

作者: SHAN Lifei ZHOU Minghua LI Aming

作者单位: College of Science, Zhejiang University of Technology, Hangzhou, P.R.China, 310023

会议类型: 国际会议

会议名称: The 3rd International Institute of Statistics & Management Engineering Symposium(2010 国际统计与管理工程研讨会 IISMES)

会议地点: 威海

会议语种:英文

页码: 140-145

在线出版日期: 2010-07-24（万方平台首次上网日期，不代表论文的发表时间）