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Holiday Trading in China: Before and During the Financial Crisis

Author

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  • Xing Lu
  • Jamshid Mehran
  • Han Gao

Abstract

Using the most recent data sample, we documented that holiday effects persist in the Chinese security exchanges. Consistent with evidence from other countries, the pre-holiday effect appears to be positively related to firm size and liquidity. We find that this effect is significant with large cap indices but disappears in middle and small cap indices. We also find that the pre-holiday effect became stronger during the financial crisis. A search for possible reasons points primarily towards the illiquidity of smaller stocks and the preference for large cap stocks during the financial crisis.

Suggested Citation

  • Xing Lu & Jamshid Mehran & Han Gao, 2016. "Holiday Trading in China: Before and During the Financial Crisis," Journal of Applied Finance & Banking, SCIENPRESS Ltd, vol. 6(2), pages 1-8.
    • Handle: RePEc:spt:apfiba:v:6:y:2016:i:2:f:6_2_8
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    Cited by:

    1. Razvan STEFANESCU & Ramona DUMITRIU, 2018. "Changes in the stocks prices behavior before and after the public holidays: case of Bucharest Stock Exchange," Risk in Contemporary Economy, "Dunarea de Jos" University of Galati, Faculty of Economics and Business Administration, pages 189-202.

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