Volume 2 • Issue 3 | September, 2018

The Impact of Lunar New Year Holiday on Stock Returns in Vietnam and other Asian Stock Markets

Le Thi Hong Minh, Truong Ngoc Son


This study investigates the impact of Lunar New Year (LNY) holiday on stock returns in Asian stock markets. Using ARMA(1,1)-GARCH(1,1) model and ARMA(1,1)-GARCH(1,1)-M model for nine countries including Vietnam, Malaysia, Hong Kong, South Korea, Japan, Taiwan, Singapore, China, India for the period of 01/05/2005 to 02/22/2016, we find that LNY holiday effect exists in five countries as Vietnam, Malaysia, Japan, Hong Kong, Taiwan. The results show that there is a significantly pre-LNY holiday effect in Vietnam, Malaysia and Japan, while Hong Kong and Taiwan have post-LNY holiday effects. The excess returns can be explained not only by the conditional risk but also by LNY holiday effect.