Impacts of environmental uncertainty on investment stocks perception under the holiday effect.

Abstract

This study explored how the holiday effect impacts the fluctuations in various scale indexes. Using differential and double-difference methods, the researchers of this study analyzed the impact of the lockdown in Wuhan, China on the holiday effect during the COVID-19 pandemic. The research objects used in this study include CSI All Share, CNI1000, CNI 2000, CNI Large Cap., CNI Mid-Cap., and CNI Small Cap. This study found that on behalf of the Chinese market index and the large, medium, and small-scale index, stock volatility is evident on the next day following successive holidays. Meanwhile, greater volatility is observed in small stocks' 4-day vacation (May 1, 11) than in a two-day vacation. The researchers discovered that the sealing effect causes investors to feel uncertain about the increased stock volatility. In terms of size, the net impact of the pandemic on the stock holiday effect is also greater for small stocks than for large stocks. This study's main contribution is the GARCH+DID hybrid method.