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
Abstract:
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.