Chinese Lunar New Year effect in Asian stock markets, 1999–2012
Tian Yuan and
Rakesh Gupta
The Quarterly Review of Economics and Finance, 2014, vol. 54, issue 4, 529-537
Abstract:
This study investigates the Chinese Lunar New Year (CLNY) holiday effect in major Asian stock markets. These are China, Hong Kong, Japan, Malaysia, South Korea and Taiwan. For robustness test, India is also examined in this paper. Daily stock index returns for each market are analysed for the period of 01/09/1999 to 28/03/2012. Using an ARMA(1,1)-GARCH (1,1) model, we find that there is a significantly positive pre-CLNY holiday effect for all cases. The findings are robust for most cases with the exception of China. It is found that high pre-CLNY returns for China are rewards for high risk, whereas for the other markets, high returns are caused by unknown factors, other than the conditional risk.
Keywords: Asian stock markets; Holiday effect; ARMA(1,1)-GARCH (1,1); Efficiency market hypothesis (EMH) (search for similar items in EconPapers)
JEL-codes: G14 G15 (search for similar items in EconPapers)
Date: 2014
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Citations: View citations in EconPapers (18)
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Persistent link: https://EconPapers.repec.org/RePEc:eee:quaeco:v:54:y:2014:i:4:p:529-537
DOI: 10.1016/j.qref.2014.06.001
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