IDEAS home Printed from https://ideas.repec.org/a/wsi/serxxx/v60y2015i04ns021759081550023x.html
   My bibliography  Save this article

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
    as

    Download full text from publisher

    File URL: http://www.worldscientific.com/doi/abs/10.1142/S021759081550023X
    Download Restriction: Access to full text is restricted to subscribers
    File URL: https://libkey.io/10.1142/S021759081550023X?utm_source=ideas
    LibKey link: if access is restricted and if your library uses this service, LibKey will redirect you to where you can use your library subscription to access this item
    ---><---

    As the access to this document is restricted, you may want to search for a different version of it.

    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

    Access and download statistics

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:wsi:serxxx:v:60:y:2015:i:04:n:s021759081550023x. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    We have no bibliographic references for this item. You can help adding them by using this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Tai Tone Lim (email available below). General contact details of provider: http://www.worldscinet.com/ser/ser.shtml .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.