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Chinese Lunar New Year effect in Asian stock markets, 1999–2012

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  • Yuan, Tian
  • Gupta, Rakesh

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.

Suggested Citation

  • Yuan, Tian & Gupta, Rakesh, 2014. "Chinese Lunar New Year effect in Asian stock markets, 1999–2012," The Quarterly Review of Economics and Finance, Elsevier, vol. 54(4), pages 529-537.
    • Handle: RePEc:eee:quaeco:v:54:y:2014:i:4:p:529-537
    DOI: 10.1016/j.qref.2014.06.001
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    More about this item

    Keywords

    Asian stock markets; Holiday effect; ARMA(1; 1)-GARCH (1; 1); Efficiency market hypothesis (EMH);
    All these keywords.

    JEL classification:

    • G14 - Financial Economics - - General Financial Markets - - - Information and Market Efficiency; Event Studies; Insider Trading
    • G15 - Financial Economics - - General Financial Markets - - - International Financial Markets

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