An Analysis of Holiday Effects on the Casino Firm Stock Prices in Macau

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The holiday effects in stock market have been widely studied in previous literature. However, the reason of holiday effect has not yet received common explanation among scholars. The paper examines excess returns and volatilities of six companies (Galaxy Entertainment, Melco International Development Ltd., SJM Holdings Ltd., Wynn Macau Ltd., Sands China Ltd. and MGM China Holdings Ltd.) in gaming industry in Macau from January 2008 to December 2013 by GARCH model. First, empirical results show that during pre- and post-holiday, Galaxy Entertainment does not have any pre- or post-holiday effect, Wynn Macau Ltd. and MGM China Holdings Ltd. only have pre-holiday effect, Sands China Ltd. has post-holiday effect, and Melco International Development Ltd. and SJM Holdings Ltd. have both pre- and post-holiday effect. Next, we separate the holiday to identify which holiday have more influence and find that each company has different holiday’s holiday effect. Finally, because the stock in Macau is listed on Hong Kong exchange, we explore which region has more influence and find that Macau has more impact than Hong Kong on stocks prices of companies based in Macau. This research suggests a new investing strategy for investors in Taiwan who want to invest the gaming industry in Macau.