The Holiday Effect in the Chinese A-Share Market: An Empirical Analysis (2020–2024)
DOI:
https://doi.org/10.54097/5285jc84Keywords:
Holiday effect, investor sentiment, event study, volatility, Chinese A-share market.Abstract
The study examines the holiday effect from 2020 to 2024 in the Chinese A-share market, during and in the proximity of three major festivals, namely, the Spring Festival, National Day, and Labor Day. Using investor sentiment indexes derived from natural language-processed Chinese social networks and financial media, along with daily stock returns, the paper employs the event study approach, paired t-tests, and firm-fixed effects panel regressions to examine market behaviors before, during, and after the holiday period. The finding indicates higher return and reduced volatility in the pre-holiday, and after the end of the holiday time, there occurs a flip, and investor sentiment becomes a crucial factor here. The finding of the higher-order holiday effect occurs mostly in the small-cap and the consumer discretionary shares, which also indicates the importance of retail investor sentiment here. The paper provides an explanation of culture and psychological variables implicated in the formation of market abnormalities in the emerging economies and helps in formulating strategies of market expectation and risk management by the policymakers and the investors.
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