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Pre And Post Chinese New Year Holiday Effects: Evidence From Hong Kong Stock Market

Author

Listed:
  • RICKY CHEE JIUN CHIA

    (Labuan Faculty of International Finance, Universiti Malaysia Sabah, Malaysia)

  • SHIOK YE LIM

    (Labuan Faculty of International Finance, Universiti Malaysia Sabah, Malaysia)

  • PUI KHUAN ONG

    (Labuan Faculty of International Finance, Universiti Malaysia Sabah, Malaysia)

  • SIEW FONG TEH

    (Labuan Faculty of International Finance, Universiti Malaysia Sabah, Malaysia)

Abstract
This paper investigated the existence of pre-Chinese New Year (CNY) and post-CNY holiday effect in the Hong Kong stock market for the period covering January 1988 to July 2012. The generalized autoregressive conditional heteroscedasticity (GARCH)-M model is adopted to examine the average returns and associated with symmetrical behavior. Then, asymmetric effect will be identified by using the Threshold GARCH-M (TGARCH-M) and Exponential GARCH-M (EGARCH-M) models. Results obtained indicate the significant two days pre-CNY and one day post-CNY holiday effects. Results also showed that post-CNY is found to be more volatile than the pre-CNY. Besides, the study found evidence of asymmetrical market reactions towards positive and negative news. The CNY holiday effects can be explained with the arguments drawn from behavioral finance, where the Chinese superstition and tradition cultures can alter investors' attitudes toward risk and affect investors' decision making in stock trading.

Suggested Citation

  • Ricky Chee Jiun Chia & Shiok Ye Lim & Pui Khuan Ong & Siew Fong Teh, 2015. "Pre And Post Chinese New Year Holiday Effects: Evidence From Hong Kong Stock Market," The Singapore Economic Review (SER), World Scientific Publishing Co. Pte. Ltd., vol. 60(04), pages 1-14.
    • Handle: RePEc:wsi:serxxx:v:60:y:2015:i:04:n:s021759081550023x
    DOI: 10.1142/S021759081550023X
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    More about this item

    Keywords

    Pre-holiday; post-holiday; symmetrical; asymmetrical behavior; G10;
    All these keywords.

    JEL classification:

    • G10 - Financial Economics - - General Financial Markets - - - General (includes Measurement and Data)

    Statistics

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