On the Chinese Lunar New Year Effect in Six Asian Stock Markets: An Empirical Analysis (1991–2000)

Gili Yen, Cheng F. Lee, Cheng-Lung Chen and Wei-Chi Lin
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Gili Yen: Chaoyang University of Technology, Taiwan
Cheng F. Lee: Rutgers University, USA
Cheng-Lung Chen: Chaoyang University of Technology & National Yunlin University of Science & Technology, Taiwan
Wei-Chi Lin: Fu-Jen Catholic University, Taiwan

Review of Pacific Basin Financial Markets and Policies (RPBFMP), 2001, vol. 04, issue 04, 463-478

Abstract: This paper examines the existence/nonexistence of the Chinese Lunar New Year effect in Hong Kong, Japan, South Korea, Malaysia, Singapore, and Taiwan in recent years. Using longitudinal stock price index data from 1991 to 2000, the authors find that cumulative returns based on stock indices in the above mentioned Asian markets exhibit a consistently up-moving trend before or after the Chinese Lunar New Year, providing evidence for continued existence of the Chinese Lunar New Year effect in these six Asian stock markets in recent years. However, when the sample period is divided into before- vs. after-Asian financial crisis period, different patterns emerge. In the wake of the Asian financial crisis, the crisis effect has some role to play, especially, for Malaysia and Singapore. In viewing the timing and patterns of the Chinese Lunar New Year effect in these six Asian markets differ from each other, the authors also recommend to investors the best investment strategy to capture the largest returns.

Keywords: Chinese Lunar New Year effect; Asian stock markets; Asian financial crisis (search for similar items in EconPapers)
JEL-codes: G1 G2 G3 (search for similar items in EconPapers)
Date: 2001
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DOI: 10.1142/S0219091501000619

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