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An Anomaly in Hong Kong Stock Market

Author

Listed:
  • David Chui

    (The Hang Seng University of Hong Kong)

Abstract

The Eastern market wisdom of ?May is poor, June is bleak, and July will turn around? unveils an international stock markets dynamic that lower returns in May followed by even worse return in June but rebounding back to an upward trend in July. This wisdom is termed as ?Eastern Halloween? effect in this paper which has some similarities with the traditional Halloween Effect but differing in duration and timing. This paper examines the Eastern Halloween effect on Hong Kong stock market and the results show that May and June period returns are superior than the returns on the rest of the calendar months in Hong Kong Stock Market.

Suggested Citation

  • David Chui, 2019. "An Anomaly in Hong Kong Stock Market," Proceedings of International Academic Conferences 9011177, International Institute of Social and Economic Sciences.
    • Handle: RePEc:sek:iacpro:9011177
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    File URL: https://iises.net/proceedings/iises-international-academic-conference-london/table-of-content/detail?cid=90&iid=007&rid=11177
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    More about this item

    Keywords

    EMH; Stock Market Anomaly; Empirical; Eastern Halloween;
    All these keywords.

    JEL classification:

    • G14 - Financial Economics - - General Financial Markets - - - Information and Market Efficiency; Event Studies; Insider Trading
    • G31 - Financial Economics - - Corporate Finance and Governance - - - Capital Budgeting; Fixed Investment and Inventory Studies
    • G02 - Financial Economics - - General - - - Behavioral Finance: Underlying Principles

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