Research on the Spring Festival Effect and Market Efficiency of the Shanghai Composite Index
DOI:
https://doi.org/10.54097/pz86rr54Keywords:
Spring Festival effect, Market efficiency, Shanghai Composite Index, GARCH modelAbstract
To examine the efficiency of China's stock market, this study employs the Efficient Market Hypothesis as its theoretical framework. Using daily closing price data of the Shanghai Composite Index from January 1.2008 to September 30.2024 we construct a GARCH (1,1)-M model to empirically test the return characteristics of the three days before and after the Spring Festival. The findings reveal a significant pre-Spring Festival effect in the SSE Composite Index, while the post-Spring Festival effect is insignificant. This result indicates that publicly available calendar information can predict short-term returns, challenging the weak-form efficient market hypothesis. It provides empirical evidence that China's stock market has not yet fully achieved weak-form efficiency, offering insights into market pricing efficiency.
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