An Anomaly in Hong Kong Stock Market

David Chui ()
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David Chui: The Hang Seng University of Hong Kong

No 9011177, Proceedings of International Academic Conferences from International Institute of Social and Economic Sciences

Abstract: The Eastern market wisdom of ?May is poor, June is bleak, and July will turn around? unveils an international stock markets dynamic that lower returns in May followed by even worse return in June but rebounding back to an upward trend in July. This wisdom is termed as ?Eastern Halloween? effect in this paper which has some similarities with the traditional Halloween Effect but differing in duration and timing. This paper examines the Eastern Halloween effect on Hong Kong stock market and the results show that May and June period returns are superior than the returns on the rest of the calendar months in Hong Kong Stock Market.

Keywords: EMH; Stock Market Anomaly; Empirical; Eastern Halloween (search for similar items in EconPapers)
JEL-codes: G02 G14 G31 (search for similar items in EconPapers)
Pages: 1 page
Date: 2019-06
New Economics Papers: this item is included in nep-fmk
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Published in Proceedings of the Proceedings of the 45th International Academic Conference, London, Jun 2019, pages 24-24

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Persistent link: https://EconPapers.repec.org/RePEc:sek:iacpro:9011177

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