Using the most recent data sample, we documented that holiday effects persist in the Chinese security exchanges. Consistent with evidence from other countries, the pre-holiday effect appears to be positively related to firm size and liquidity. We find that this effect is significant with large cap indices but disappears in middle and small cap indices. We also find that the pre-holiday effect became stronger during the financial crisis. A search for possible reasons points primarily towards the illiquidity of smaller stocks and the preference for large cap stocks during the financial crisis.