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

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题名:	On the Chinese Lunar New Year Effect in Six Asian Stock Markets: An Empirical Analysis (1991–2000)
作者:	陳慶隆;Yen, Gili;Lee, C. F.;Lin, W. C.
贡献者:	淡江大學會計學系
日期:	2001-12
上传时间:	2011-10-20 12:49:00 (UTC+8)
摘要:	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.
關聯:	Review of Pacific Basin Financial Markets and Policies 4(4), pp.463-478
DOI:	10.1142/S0219091501000619
显示于类别:	[會計學系暨研究所] 期刊論文

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