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

Author

Listed:
  • 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)

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.

Suggested Citation

  • Gili Yen & Cheng F. Lee & Cheng-Lung Chen & Wei-Chi Lin, 2001. "On the Chinese Lunar New Year Effect in Six Asian Stock Markets: An Empirical Analysis (1991–2000)," Review of Pacific Basin Financial Markets and Policies (RPBFMP), World Scientific Publishing Co. Pte. Ltd., vol. 4(04), pages 463-478.
    • Handle: RePEc:wsi:rpbfmp:v:04:y:2001:i:04:n:s0219091501000619
    DOI: 10.1142/S0219091501000619
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    Citations

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    Cited by:

    1. Keith Lam & Frank Li, 2008. "The risk premiums of the four-factor asset pricing model in the Hong Kong stock market," Applied Financial Economics, Taylor & Francis Journals, vol. 18(20), pages 1667-1680.
    2. Paul McGuinness & Richard Harris, 2011. "Comparison of the 'turn-of-the-month' and lunar new year return effects in three Chinese markets: Hong Kong, Shanghai and Shenzhen," Applied Financial Economics, Taylor & Francis Journals, vol. 21(13), pages 917-929.
    3. Teng, Chia-Chen & Yang, J. Jimmy, 2018. "Chinese Lunar New Year effect, investor sentiment, and market deregulation," Finance Research Letters, Elsevier, vol. 27(C), pages 175-184.

    More about this item

    Keywords

    Chinese Lunar New Year effect; Asian stock markets; Asian financial crisis;
    All these keywords.

    JEL classification:

    • G1 - Financial Economics - - General Financial Markets
    • G2 - Financial Economics - - Financial Institutions and Services
    • G3 - Financial Economics - - Corporate Finance and Governance

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