Paper: arXiv 2308.00702

Authors: Xianyang Li, Jiayi Xu, Haoxuan Xu, Yunxuan Ma, Yu Zhong, Lei Wang

Abstract

The stock segment of China’s time-honored brand enterprises has an important position in our securities stock market. The holiday effect is one of the market anomalies that occur in the securities market, which refers to the phenomenon that the stock market has significantly different returns than other trading days around festivals. The study of the holiday effect of China’s time-honored brand enterprises can provide fresh ideas for the revitalization of our time-honored brands and the revitalization of time-honored enterprises. This paper takes listed companies of China’s time-honored brand enterprises as the research object and focuses on the impact of the holiday effect on listed companies of China’s time-honored brands with the help of the event study, and empirically analyses the changes in the return of listed companies of China time-honored brands during the Spring Festival period from 2012 to 2021. The empirical results reveal that: the time-honored brand concept stocks have a significant post-holiday effect during the Chinese New Year period, the time-honored alcoholic beverage enterprises are more sensitive to the Chinese New Year reflection, while the holiday effect of the time-honored pharmaceutical manufacturing enterprises is not significant.

Complexity vs Empirical Score

  • Math Complexity: 2.5/10
  • Empirical Rigor: 5.5/10
  • Quadrant: Street Traders — practical and empirical, lighter on theory

Why this score: The paper uses standard event study methodology to evaluate market anomalies around the Chinese New Year for a niche market segment. While mathematically simple and relying on basic empirical techniques over a limited decade-long dataset, it provides clear, focused insights into specific consumer sectors like alcoholic beverages and pharmaceuticals.

Research Flowchart

  flowchart TD
    A[Research Goal: Analyze Spring Festival Holiday Effect on China's Time-Honored Companies] --> B[Data Input: Listed Time-Honored Brand Stock Returns 2012–2021]
    B --> C[Methodology: Event Study Model]
    C --> D[Compute Abnormal Returns AR & Cumulative Abnormal Returns CAR Around Spring Festival]
    D --> E[Empirical Findings & Outcomes]
    E --> F[Significant Post-Holiday Effect Across Time-Honored Concept Stocks]
    E --> G[Alcoholic Beverage Sector: Highly Sensitive to Holiday Effect]
    E --> H[Pharmaceutical Manufacturing Sector: No Significant Holiday Effect]