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5 Result and Analysis ......................................................................................................................... 6 Descriptive Statistic ..................................................................................................................... 6 Regression ................................................................................................................................... 7 Conclusion ....................................................................................................................................... 8 References ....................................................................................................................................... 9 Appendix ....................................................................................................................................... 12 List of Abbreviations ................................................................................................................. 12 List of Figures ........................................................................................................................... 12 Figure 1: Yearly Market Index of Shanghai Stock Exchange Index for 2004 to 2013 ......... 12 Figure 2: Yearly Market Index of Taiwan Stock Exchange Index for 2004 to 2013 ............ 13 Figure 3: Yearly Market Index of Hang Seng Index for 2004 to 2013 ................................. 13 Figure 4: Yearly Market Indexes for SSE, TSEC and HSI for 2004 to 2013 ........................ 14 List of Tables ............................................................................................................................. 14 Table 1: List of Cultural Holiday in China ............................................................................ 14 Table 2: List of Non-Cultural Holiday in China.................................................................... 15 Table 3: List of Cultural Holiday in Hong Kong................................................................... 15 Table 4: List of Non-Cultural Holiday in Hong Kong .......................................................... 16 Table 5: List of Cultural Holiday in Taiwan ......................................................................... 16 Table 6: List of Non-Cultural Holiday in Taiwan ................................................................. 17 Table 7: Descriptive Statistics for Daily Data [ ............................ 17
Table 8: Regression Result for Cultural, Non- Cultural, Pre-holiday and Post-holiday Effect (Shanghai Stock Exchange Index) ......................................................................................... 18 Table 9: Regression Result for Cultural, Non- Cultural, Pre-holiday and Post-holiday Effect (Taiwan Stock Exchange Corporation Weighted Index) ....................................................... 18 Table 10: Regression Result for Cultural, Non- Cultural, Pre-holiday and Post-holiday Effect (Hang Seng Index) ................................................................................................................. 19
Abstract
The purpose of this paper is to discuss about the cultural effects and holidays effects in Chinese stock markets. We will focus on the Chinese stock markets which are Shanghai Stock Exchange Index, Taiwan Stock Exchange Weighted Index and Hang Seng Index during the cultural holiday and non-cultural holiday effect. We use descriptive statistic and regression analysis to examine the daily stock return from 1st January 2004 to 30th September 2013 in Shanghai Stock Exchange Index, 31st December 2003 to 30th September 2013 in Taiwan Stock Exchange Weighted Index and 31st December 2003 to 30th September 2013 in Hang Seng Index. We found that the empirical result showed that there is significant return before the non-cultural holiday in Shanghai Composite Index, Taiwan Weighted Index and Hang Seng Index. Keywords: cultural effect and holiday effect, Chinese stock market, regression analysis
Introduction
Stock market anomalies can be defined as unusual pattern of stock return. Stock market anomalies can be categorized as technical anomalies, calendar and fundamental. There are varieties of calendar anomalies that caused a stock return such as the holiday effect, turn of the month effect, January effect and the day of the week effect. In this literature survey we will investigate the holiday effect in our stock markets. Holiday effect can demonstrated as preholidays and post-holidays. In other words pre-holidays is the day before the holidays begins and post-holidays is the day after the holidays. During the pre-holiday stock markets mostly earn much higher as compared to post-holidays. There are several holidays that can effect on stock markets trading such as Easter Day, Labor Day, Anzac Day, Christmas Day, New Years day and many others more. We will investigate the holiday effects in three Chinese stock markets such as Shanghai Composite Index, Taiwan Weighted Index and Hang Seng Index. Shanghai Stock Exchange (SSE) is a Chinese stock exchange that based in Shanghai making it ninth largest in the world and largest in mainland China. SSE was found on 26 November 1990 and was in operation on 19 December 1990. China Securities Regulatory Commission (CSRC) directly administered that it is a non-profit organization. SSE made an effort to provide transparent, open, safe and efficient marketplace. There are total of 875 companies were listed in SSE. In 1891, Shanghai Share brokers Association is Chinas first stock exchange was founded by foreign businessmen. Later in 1904, the association renamed it as Shanghai Stock Exchange after they applied it for registration in Hong Kong under Companies ordinance. On 8 th December 1941, the operation of SSE has to close after Japanese troop invade the Shanghai International Settlement. In 1946, the SSE continues back its operation before closing again in 1949 after the Communist revolution take place. The Shanghai Stock Exchange (SSE) Composite Index is a stock market index of all stocks listed both A shares and B shares that are traded at Shanghai Stock Exchange. The SSE Composite Index is the most commonly used to reflect SSE market performance. There are SSE indices in Shanghai Stock Exchange such as SSE 50 Index, SSE Fund Index, SSE Corporate Bond Index, SSE Dividend Index, SSE Composite Index, SSE 180 Index, SSE New Composite Index, SSE Government Bond and Sector Indices. Among all 1
Shanghai Stock Exchange Indices, the Shanghai Stock Exchange Composite Index is the earliest one to compile. The index was launched on July 15, 1991. The base day for SSE Composite Index is December 19, 1990. The base value is 100 and the base period is the total market capitalization of all stocks (Guo and Wang, 2007). Hong Kong Stock Exchange (HKSE)1 is a stock exchange that based in Hong Kong making it the sixth largest in the world behind Euro next and second largest stock exchange in Asia behind the Tokyo Stock Exchange. The Hong Kong Stock Exchange had 1,477 listed companies in 30th November 2011 with a combined market capitalization of HK$16.985 trillion. In the late 19 th century, the history of the securities exchange formally establish with the first formal market, the Association of Stockbrokers in Hong Kong in 1891. However, the informal securities exchanges known to have been exist since 1861. In 1914, the association was renamed to Hong Kong Stock Exchange. There was a second exchange where the Hong Kong Stockbrokers Association incorporated in 1921. In 1947, the two exchanges merged to form Hong Kong Stock Exchange and re-establish the stock market after World War II. Hong Kong Stockholders Association Ltd was found in 1956 where these associations allow information sharing between HKSE and other exchanges. Due to the rapid growth of the Hong Kong economy, there are three other exchanges has been establish which are Far East Exchange Ltd in 1969, Kam Ngan Stock Exchange Ltd in 1971 and Kowloon Stock Exchange Ltd in 1972. In 1986, HKSE retain the name and merges with other exchanges but also presented as Stock Exchange of Hong Kong. The Hong Kong Stock Exchange becomes the holding company for Hong Kong Futures Exchange Limited (HKFE) in 1976, Hong Kong Securities Clearing Company Limited in 1989 and Hong Kong Exchange and Clearing Limited (HKEx) in 2000. The Hang Seng Index is a free-float capitalization-weighted stock market index from the Stock Exchange of Hong Kong. HSI is used to record and check the daily changes of the companies of the Hong Kong stock market. The HSI is maintained by wholly owned subsidiary of Hang Seng Bank since 1969. The Hang Seng members are classified into four sub-indexes including utilities, finance, commerce, industry and properties. In 31st July 1964, the index was developed with a base level of 100. The Taiwan Stock Exchange (TWSE)2 is a stock exchange that located in Taipei, Taiwan was incorporated in 1961 and began operating as stock exchange in 9th February 1962. TWSE listed securities include call warrants, government bonds, put warrants, stocks and other more. In February 1990 the market suffered a drastic decline. However in October 1990 there is a recovery from the decline but was slow because of the military exercises and missile tests held by the Peoples Republic of China. TWSE was ranked the third largest capital markets in world in October 1988 in terms of total capitalization. Since 1993 its trading system has been fully computerized. The Taiwan Stock Exchange had listed 809 companies with combined market capitalization of TWD 21,352 million in 24th October 2013. In 1966, the TWSE stock level is the Taiwan Stock Exchange Capitalization Weighted Stock Index (TAIEX) was launched with a base level of 100. The Taiwan stock exchange provides the TAIEX in both total return and price which measures the performance of stocks listed on TWSE. The TAIEX covers all of the listed stocks
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on the Taiwan exchange that excluding full-delivery stocks, preferred stocks and newly listed stocks which is less than one month. After the introduction, the remainder of this paper is organized as follow. Section 2 offers the literature review, Section 3 will describe the data and methodology, Section 4 will show the empirical result and descriptive statistics and Section 5 is the last part will be the conclusion.
Literature Review
There are several of literature that investigated the cultural effects and holiday effects in stock market for different countries around the world. Nawaz and Mirza (2012) examined the existence of pre-holiday effect in New Zealand stock market where these holidays stock market was closed and trading did not take place. In the study by McGuinness (2005), found that the US stock market pre-holiday effect has less important on the Chinese Lunar New Year effect. Kim and Park (1994) discovered that there are abnormally high returns on trading day before holidays in major stock market in US: the NYSE, AMEX and NASDAQ. While Yuan et al. (2006) found evidence that for U.S stocks the lunar effect is more defined for NASDAQ in small cap stocks than AMEX and NYSE in large cap stocks. Moreover, holiday effect demonstrates that preholiday earn much higher return as compared to the returns on post holidays (Lin and Liu, 2002). Yun (2012) and Chi (2006) provided a strong evidence of the pre-holiday effect being most significant in the US but shown to have weakened for the United Kingdom and Hong Kong market. Yun (2012) found that the holiday effect in the Singapore stock market during the precrisis period of the pre-holiday average returns were much higher as compared to the average returns on other trading days of the year. Abidin et al. (2001), Marrett and Worthington (2007) and Chia et al. (2008) discovered the evidence of significant of pre-holiday effect exist on Chinese New Year in Hong Kong, Japan, Singapore, Malaysia, Taiwan whereas South Korea and New Zealand do not have significant evidence to show if Chinese New Year pre-holiday effects exist in the stock market. Therefore, Nawaz and Mirza (2012) also investigated the presence of holiday effect on stock returns in Kuwait stock exchange (KSE) market. In the study by Mitchell and Ong (2006) pointed out that significant pre-holiday effects that exists in many stock markets but not exist in European markets. Kim and Park (1994) and Chu et al. (1987) found the presence of holiday effects in the United Kingdom and Japanese stock markets. Nawaz and Mirza (2012) study that Christmas Day being the highest average returns on the trading day followed by Easter day generated the second highest average returns and Labor Day has the lowest returns that less than the average returns. According to Bhana (1994) found the evidence that the Johannesburg Stock Exchange on the trading day prior to holidays is significant on average mean return are five times larger than the average returns on non pre-holidays. The holiday effects in Johannesburg stock market are St. Patricks Day or Rosh Hashanah.
Dumitriu et al. (2011) discovered that Romanian Stock market on post-holiday effect for all indexes while pre-holiday effect has only some of them. Karim and Tang (2012) and Picou (2006) found the existence of pre-holiday effect in the US and Australian stock markets but not in postholiday effects. Meneu and Pardo (2004) studied the German markets that there is no significant pre-holiday effect that could relate to the calendar of the markets. Coakley et al. (2008) stated that the stock return on stock market exchanges on Malaysia, Singapore and Hong Kong significantly higher on stock returns prior to the Chinese New Year Holiday. Karim and Tang (2012) found that the present of post-holiday effect of Israeli stock market. According to Teng and Liu (2013), they study on Istanbul Stock Exchange (ISE) found that they do not find any holiday effect in the stock market. Dumitriu et al. (2012) discovered that there is a significant pre-holiday effect on the Irish equities evolution. Los and Yu (2008) discovered that on public holiday, South Africa present high and significant returns in days. Chu et al. (1987) prove that the pre-holiday effects are significant in Canada, Japan, Hong Kong, and Australia with the highest returns appearing on pre-holiday trading days. Tangjitprom (2010) found that the holiday effect exist in Thailand as the stock returns are abnormally high during the pre-holiday trading. The holiday effects in Thailand stock market are New Years Eve and New Year, National Day, Labor Day, Coronation Day, Constitution Day. Marrett and Worthington (2007) stated that Australian stock market overall concluded that pre-holiday returns typically five times higher than the other days. Based on what we study for Chinese stock market, we found that there are many journals researched on the cultural effects and holiday effects in Chinese stock market. By McGuinness (2005) found the evidence that in 1970s and 1980s, Chinese New Year effect has been strongly significant in Hang Seng Index overall pre-holiday return effect. Abidin et al. (2001) discovered that the daily holding period returns from Hang Seng Index and pre-holiday effects are significant prior to the Chinese New Year in Hong Kong during the period of 1980 to 1989 prior. This can be proved that the stock returns in Hang Seng Index tend to increase immediately prior to the Chinese New Year. According to Chong et al. (2005) they found a strong evidence of a preholiday effect in Hang Seng Index. McGuinness (2005) also found the pre-holiday return effect in Hang Seng Index appear to be higher than other trading days and the holding periods is much longer prior to the Chinese New Year event. In the study by Chong et al. (2005) found that the mean pre-holiday return consistently higher than the mean for non pre-holiday days in Hong Kong market. Chen and Chien (2011) found the evidence that there are significantly positive stock returns on the days before Chinese New Year which also prove the existence of Chinese New Year effect in Taiwan stock market. Cheng and Chien (2008) also found that the stock returns after the Chinese New Year also experience high stock returns in Taiwan stock market. Teng and Liu (2013) found the evidence that the preholiday effect exists in Taiwan stock markets as the mean of pre-holiday returns in Taiwan stock market show higher mean return and significant different from the non pre-holiday. Mitchell and Ong (2006) discovered that in Shanghai Composite Index the frequency of preholiday effect is significant as positive returns in pre-holiday are higher than those in normal days. The results study by Mookerjee and Yu (1999) and Guo and Wang (2007) show that there are 4
significant positive holiday effects and negative weekend but there is no evidence shows the January effect or early effect. Cao et al. (2007) discovered that Spring Festival holiday effect is highly significant in Shanghai Composite Index. Groeneworld et al. (2003) and Cao (2006) found a weak evidence of holiday effect while Chinese New Year effect is highly significant in Shanghai Composite Index. According to Coakley et al. (2008) and Kuria and Riro (2013) the stock returns during or preceding Chinese New Year festivity is higher than those on the remaining days in Shanghai Composite Index, Taiwan Weighted Index and Hang Seng Index.
According to Marrett and Morthingthon (2009), regression-based approach is the best way to identify the holiday effect on the stock market returns. The following regression formula is applied to identify the pre-holiday and post-holiday effect on stock market returns in these countries. (2) Where: is the daily stock return
is the dummy variable representing the value for the trading day before a public holiday and zero otherwise is the dummy variable representing the value for the trading day after a public holiday and zero otherwise
In these Chinese countries holidays there were cultural and state holidays. In order to identify the cultural or state holiday effects, we also perform regressions with dummy variables: (3) (4) Where: is the daily stock returns is the dummy variable of the pre-holiday for cultural holidays is the dummy variable for post-holiday for cultural holidays is the dummy variable of the preholiday for non-cultural holidays which is the state holidays is the dummy variable of the post-holiday for non-cultural holidays which is the state holidays
and post-holiday of non-cultural holidays has a mean return of 0.002589086. This result shows that the pre-holiday during non-cultural holidays period seems to be affecting the Taiwan Stock Exchange market. In Hong Kong market, the mean return is 0.000236855. Pre-holiday during the cultural holidays has a mean return of 0.001117764. We can also see that the mean return for post-holiday during cultural holidays is higher than the mean return of pre-holiday during cultural holidays period, which 0.001771655. We can also find that the mean return for pre-holiday during non-cultural holidays is 0.003322187 for Hang Seng Index. Besides that, we can also indicate that the postholiday during non-cultural holidays has the highest mean return of 0.006278258. This means that non-cultural holidays seem to be effect on Hong Kong Stock market. < Table 7 here > To conclude that the three Chinese countries show a positive mean return during the pre-holiday of non-cultural period. China has the highest mean return during pre-holiday of non-cultural holidays than Hong Kong and Taiwan. We believe that these three countries are appears to have non-cultural holiday effect. Regression We perform regression with dummy variables in order to identify cultural and non-cultural effects. In the table 8 presented the regression result of the Shanghai Stock Exchange index returns with the dummy variables Pre-cultural holiday, Post-cultural holiday, Pre-non cultural holiday and Post-non cultural holiday, where the Shanghai Stock Exchange index daily return is the dependent variable. The coefficient of return on all trading day is -9.41309E-10, the coefficient of return on Pre-Cultural holiday is -5.61932E-06 and the coefficient of return on Post-Cultural holiday is -5.62921E-06. While the coefficient of return on Pre-non cultural is 9.74824E-07 and the coefficient on return on Post-non cultural is 0.000446435. Result shows that the returns on Post-non cultural holiday are significantly higher than those on all trading days at 5% level as the p-value is very low (1.3112E-19) and T-statistics at significant level. The Pre-cultural holiday and Pre-non cultural returns are lower that the Post-non cultural returns, so it is not significant for this effect. This shows that there is non-cultural holiday effect on Shanghai Stock Exchange Index.
< Table 8 here > Table 9 shows the results of the coefficient of returns for Taiwan Stock Exchange Corporation weighted index estimated by regression analysis. The coefficient of the returns for pre-cultural holiday is -1.08577E-05 are slightly more than that of post-cultural holidays (-1.08582E-05). While for the pre-non cultural holiday periods, the coefficients of returns are 0.000649154 that are much more than post-non cultural holiday periods, 5.32181E-07. There is a positive return on both of the pre-non cultural and post-non cultural holiday effect. As the p-value for pre-non cultural holiday is very low (4.57457E-15) and t- statistic at significant level, there is a noncultural holiday effect on Taiwan Stock Exchange Corporation weighted index.
< Table 9 here > For Hang Seng Index in Hong Kong, the results are showed in the table 10. The result shows that there is a significant positive return on post-non cultural holiday with a lowest p-value of 1.12342E-10. The pre-non cultural holiday also has a positive return but insignificant because the p-value is very high. We also see that the return on post-cultural holiday is -7.59563E-06 and the coefficient of pre-cultural holiday is-7.59937E-06, which means that the returns on post-cultural holidays are higher than pre-cultural holiday but is insignificant. To conclude that there is a significant on post-non cultural holiday effect in Hong Kong stock market. < Table 10 here > Based on the result, we can find that the return is significant on non-cultural holiday effect for SSE Index and TSE Index. In the other hand, the return on HSI is not significant.
Conclusion
This paper examines the cultural and holiday effect in three Chinese countries stock marketShanghai Stock Exchange Index, Taiwan Stock Exchange Index and Hang Seng Index. Overall, to investigate this study we had use the descriptive analysis and simple regression models for a period of ten years (2004-2013). The result shows that there is non-cultural holiday effect in China and Taiwan stock markets because the stock returns are high during the pre-holiday period for non-cultural holiday. Our findings also show that there is not significant evidence shows that the returns on pre-non cultural holiday in stock market of Hong Kong. While in the descriptive data, the results show that SSE Index and TSE Index stock markets have the highest mean return for pre-non cultural holiday period. But in HSI stock market, post-non cultural shows a high mean return. Overall, we can see that the stock market of China and Taiwan appear to be influenced by the non-cultural holiday. After distinguish the differences between cultural holiday and non-cultural holiday, non-cultural holidays show statically significant higher returns compare to those in cultural holiday periods. For the further research, we suggest three suggestions to improve the estimation of market efficiency in Chinese stock market. In fact, there is still a great room to improve this study by using other approaches. Firstly, other indices can be applied to perform the study by using the same framework as our research. Indices such as Shenzhen Stock Exchange, Korea Stock Exchange Index, Japan Stock Exchange, Kuala Lumpur Stock Exchange Composite Index and Singapore Stock Market in the Asia country can be uses for further research. Secondly, the future research could emphasis on the areas that if holiday effects are associated with others calendar effects such as January effect, 8
Monthly effect or day-of-the-week effect. For example, holiday may fall in the particular day of the week or the particular month of the year. Thirdly, econometric models can be applied on building up to test on this hypothesis in the future study. This will help to explain more detail on the cultural holiday effect on stock market.
References
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Appendix
List of Abbreviations Abbreviation AMEX CSRC HKEx HKFE HKSE HSI NASDAQ NYSE SSE TAIEX TWSE Meaning American Stock Exchange China Securities Regulatory Commission Hong Kong Exchange and Clearing Limited Hong Kong Futures Exchange Limited Hong Kong Stock Exchange Hang Seng Index National Association of Securities Dealers Automated Quotations New York Stock Exchange Shanghai Stock Exchange Taiwan Stock Exchange Capitalization Weighted Stock Index Taiwan Stock Exchange
List of Figures Figure 1: Yearly Market Index of Shanghai Stock Exchange Index for 2004 to 2013
7000 Adjusted Close Daily Index Price 6000 5000 4000 3000 2000 1000 0 SSE
Date
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Figure 2: Yearly Market Index of Taiwan Stock Exchange Index for 2004 to 2013
12000 Adjusted Close Daily Index Price 10000 8000 6000 4000 2000 0 TSE
Date
Source: Yahoo Finance Figure 3: Yearly Market Index of Hang Seng Index for 2004 to 2013
35000 30000 25000 20000 15000 Hang Seng 10000 5000 0
Date
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Figure 4: Yearly Market Indexes for SSE, TSEC and HSI for 2004 to 2013
35000 Adjusted Close Index Price 30000 25000 20000 15000 10000 5000 0 SSE Hang Seng TSE
Date
List of Tables Table 1: List of Cultural Holiday in China Date 1st day of 1st month (Chinese calendar) April 5 (April 4 in leap years) 5th day of the 5th month (Chinese calendar) 15th day of the 8th month (Chinese calendar) Source: OfficeHolidays English Name Chinese New Year3 Ching Ming Festival4 Dragon Boat Festival (Tuen Ny Festival)5 Mid-Autumn Festival6
3 4 5 6
Usually occurs in late January or early February; the most important of the traditional Chinese holidays Day for paying respect to ones ancestors Day for patriotic remembrance, eating cakes and dragon boat races.
It is an important celebration of harvest and togetherness, with the lighting of lanterns, eating mooncakes and observation of the moon.
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Table 2: List of Non-Cultural Holiday in China Date January 1 May 1 October 1 Source: OfficeHolidays English Name New Years Day Labour Day National Day
Table 3: List of Cultural Holiday in Hong Kong Date 1st day of 1st month (Chinese calendar) 2nd day of the 1st month (Chinese calendar) 3rd day of the 1st month (Chinese calendar) April 5 (April 4 in leap years) 2 days before Easter Day before Easter Day after Easter 8th day of the 4th month (Chinese calendar) 5th day of the 5th month (Chinese calendar) 16th day of the 8th month (Chinese calendar) 9th day of the 9th month (Chinese calendar) Source: OfficeHolidays English Name Chinese New Year Second day of Chinese New Year (Chinese New Year) Third day of Chinese New Year (Chinese New Year) Ching Ming Festival Good Friday7 Day following Good Friday (Holy Saturday) Easter Monday Buddhas Birthday8 Dragon Boat Festival (Tuen Ny Festival) Day following the Mid-Autumn Festival Chung Yeung Festival9
7 8
It is a religious holiday observed primarily by Christians commemorating the crucifixion of Jesus Christ and his death at Calvary
New holiday established in 1998. It is the birthday of the Prince Siddhartha Gautama, is a holiday traditionally celebrated in Mahayana Buddhism.
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This is the day for honoring the elderly and deceased and for mountain climbing.
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Table 4: List of Non-Cultural Holiday in Hong Kong Date January 1 May 1 July 1 October 1 December 25 December 26 Source: OfficeHolidays English Name New Years Day Labour Day Hong Kong Administrative Region Establishment Day10 National Day Christmas Day Boxing Day
Table 5: List of Cultural Holiday in Taiwan Date Last day (29th/30th day) of the 12th month (Chinese calendar) 1st day of 1st month (Chinese calendar) 2nd day of the 1st month (Chinese calendar) 3rd day of the 1st month (Chinese calendar) April 4 ( Falls on either 4/5/6 April) 5th day of the 5th month (Chinese calendar) 15th day of the 8th month (Chinese calendar) Source: OfficeHolidays English Name Chinese New Years Eve Chinese New Year Second day of Chinese New Year (Chinese New Year) Third day of Chinese New Year (Chinese New Year) Qingming Festival Dragon Boat Festival (Tuen Ny Festival) Mid-Autumn Festival
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The holiday commemorates the transfer of the sovereignty of Hong Kong from the United Kingdom to the People's Republic of China and the establishment of the Hong Kong Special Administrative Region.
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Table 6: List of Non-Cultural Holiday in Taiwan Date January 1 February 28 April 4 October 10 Source: OfficeHolidays English Name New Years Day 228 Peace Memorial Day11 Combination of Womens Day and Childrens Day12 National Day/ Double Tenth Day13
Table 7: Descriptive Statistics for Daily Data [ SSE Index Mean Std. Dev. Kurtosis Skewness Minimum Maximum 0.000152341 0.016713192 3.597503389 -0.282939844 -0.092561543 0.090342514 TSEC Index Mean Std. Dev. Kurtosis Skewness Minimum Maximum 0.000125688 0.013265871 3.219647436 -0.404585902 -0.069123473 0.065246203 Hang Seng Index Mean Std. Dev. Kurtosis Skewness Minimum Maximum 0.000236855 0.016073822 9.345117778 0.0392211 -0.135820244 0.134068089 Pre-holiday (Cultural) 0.002608233 0.012548247 0.32782157 0.138598864 -0.023689159 0.029815199 Pre-holiday (Cultural) 0.003561392 0.009079473 1.334355346 0.361152768 -0.017839409 0.030551496 Pre-holiday (Cultural) 0.001117764 0.015710953 4.821936392 -0.830266437 -0.055494397 0.051260719 Post-Holiday (Cultural) -0.001053998 0.020702967 5.158465359 -1.495217003 -0.080436969 0.043544503 Post-Holiday (Cultural) 0.002832971 0.015807563 2.351016051 -1.308257033 -0.050117863 0.030617747 Post-Holiday (Cultural) 0.001771655 0.021678795 0.915761902 -0.192581931 -0.055907886 0.055186932 Pre-holiday (NonCultural) 0.005962452 0.022149987 0.302831297 -0.48671985 -0.05375192 0.046498101 Pre-holiday (NonCultural) 0.004119392 0.015099065 8.906309827 0.878825116 -0.04543905 0.065246203 Pre-holiday (NonCultural) 0.003322187 0.012377993 1.307747933 -0.07043429 -0.03531336 0.037017227 Post-Holiday (NonCultural) 0.000152341 0.016713192 3.597503389 -0.28293984 -0.09256154 0.090342514 Post-Holiday (NonCultural) 0.002589086 0.016635158 1.424703721 0.427156862 -0.02923959 0.054843057 Post-Holiday (NonCultural) 0.006278258 0.018499346 1.85776835 0.636059426 -0.04477108 0.062274638
11
Commemorates the 228 Incident in 1947. On this day. all flags in the nation will be flown at half-mast as a mark of respect for the dead.
12
To make the rights of children and to stop the abuse and killing of children. Commemorates the Wuchang Uprising of 1911.
13
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Table 8: Regression Result for Cultural, Non- Cultural, Pre-holiday and Post-holiday Effect (Shanghai Stock Exchange Index) Coefficient All Trading Day Pre-holiday Post-holiday Pre-holiday (Cultural) Post-holiday (Cultural) Pre-holiday (Non-Cultural) Post-holiday (Non-Cultural) -9.41309E-10 1.67946E-07 0.000202653 -5.61932E-06 -5.62921E-06 9.74824E-07 0.000446435 t-stat -0.00016899 0.005011321 6.051318736 -0.12550432 -0.12572969 -0.00061372 9.136885946 P-value 0.999865173 0.99600197 1.65748E-09 0.900134611 0.899956223 0.984092493 1.3112E-19
Table 9: Regression Result for Cultural, Non- Cultural, Pre-holiday and Post-holiday Effect (Taiwan Stock Exchange Corporation Weighted Index) Coefficient All Trading Day Pre-holiday Post-holiday Pre-holiday (Cultural) Post-holiday (Cultural) Pre-holiday (Non-Cultural) Post-holiday (Non-Cultural) 2.71051E-20 -1.60835E-18 -1.1981E-18 -1.08577E-05 -1.08582E-05 0.000649154 5.32181E-07 t-stat 0.220638471 -2.37908172 -1.78394523 -0.13028950 -0.13030789 7.889304884 0.006469263 P-value 0.825392703 0.017433567 0.07455882 0.896348293 0.896333749 4.57457E-15 0.994838848
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Table 10: Regression Result for Cultural, Non- Cultural, Pre-holiday and Post-holiday Effect (Hang Seng Index) Coefficient All Trading Day Pre-holiday Post-holiday Pre-holiday (Cultural) Post-holiday (Cultural) Pre-holiday (Non-Cultural) Post-holiday (Non-Cultural) -3.36009E-09 2.18991E-07 0.000162042 -7.59937E-06 -7.59563E-06 3.25681E-07 0.000307195 t-stat -0.00044341 0.006236647 4.630220494 -0.15634403 -0.15623460 0.006873562 6.477528844 P-value 0.99964624 0.995024417 3.84395E-06 0.875774752 0.875860998 0.994516295 1.12342E-10
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