International Journal of Performance Measurement








Volume 8, Number 2, December 2018

An Examination of Abnormal Stock Returns of “Double Eleven” Shopping Festival: Evidence from Listed Companies in China

Rong Chen¹², Fu-ju Yang², Chun-Yueh Lin², Yi-Hsien Wang²*


This study samples data about the CSI300 Index, the SSE Composite Index, and the Shenzhen Composite Index and conducts an event study on the information value of “Double Eleven” (November 11th) on logistics company stocks. The purpose is to explore whether these three indices provide abnormal returns from the 15 days prior to “Double Eleven” to the 15 days after “Double Eleven”. This study also zooms in on any abnormal returns associated with the CSI300 Index during the event periods in 2014-2017. The empirical results suggest that “Double Eleven” Shopping Festival exhibited a negative influence on the three indices in 2015, 2016 and 2017. The only exception was the year 2014 when positive information effects of “Double Eleven” on the CSI300 were observed. In general, “Double Eleven” shows a negative impact on the information value of logistics company stocks.


Keywords: Double Eleven; Market Model; Abnormal Return; Information Effect

JEL Classification: M30, L87, E30


¹ Minjiang University

² Department of Banking & Finance, Chinese Culture University.