公众假期对上海证券交易市场波动的影响

Luyao Ju, Hisashi Tanizaki
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摘要

本文研究了 2002 年 1 月 4 日至 2023 年 11 月 17 日期间中国七大节假日对上证综指日波动率的影响。利用 GARCH(1,1)模型,我们旨在揭示在股票收益波动中,除了众所周知的传统节日效应之外,是否还存在七大节假日效应。关于七天公共假期效应在收益水平上的研究论文很多,但在收益波动上的研究论文却很少。我们特别研究了七大公众假期的节前和节后效应。结果我们发现,在大多数七大公众假期中,节前效应并不显著,这表明投资者的行为在公众假期前并没有发生显著变化。与此相反,节后效应在七个主要公众假期中的大多数假期都很显著,表明公众假期后的波动性很高。由于股票市场是世界性的,并且是连续运行的,因此中国股票市场在节假日后开市时,股票收益的波动性会显著增加。通过这些发现,发明者可以更好地理解节假日前后的市场波动性以及伴随的风险。
本文章由计算机程序翻译,如有差异,请以英文原文为准。
Public holidays effects on volatility in Shanghai stock exchange market
In this paper, we investigate the impact of China’s seven major public holidays on Shanghai Stock Exchange Composite Index daily returns’ volatility from January 4, 2002, to November 17, 2023. Utilizing the GARCH (1, 1) model, we aim to uncover whether there are the seven public holiday effects in addition to the well-known conventional holiday effects in stock returns’ volatility. There are a lot of research papers on the seven public holiday effects in the return level but few ones in the return volatility. Especially, we investigate both pre- and post-holiday effects in the seven major public holidays. As a result, we find that the pre-holiday effects are insignificant in most of the seven major public holidays, suggesting that investor behavior does not change significantly before the public holidays. In contrast, the post-holiday effects are significant in most of the seven major public holidays, indicating high volatility after the public holidays. Because the stock market is worldwide and operates continuously, the volatility of stock returns increases significantly when China’s stock market opens after the public holidays. Through these findings, inventors can better understand market volatility and the accompanying risks before and after the public holidays.
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