The Chinese Lunar New Year Effect in the Asian Pacific Stock Markets Revisited: Some Updated Empirical Evidence(1991-1997)

• Main Authors: Wei-Chi Lin, 林偉祺
• Other Authors: Gili Yen
• Format: Others
• Language: zh-TW
• Published: 1998
• Online Access: http://ndltd.ncl.edu.tw/handle/62879114790279077228

碩士 === 輔仁大學 === 金融研究所 === 86 === Following Lee, Yen, and Chang (1993) and Yen and Shyy (1993), this thesis reexamines the Chinese Lunar New Year Effect in major Asian Pacific stock markets. The paramount concern is whether or not the nominal event Chinese Lunar New Year still exerts perceivable influences on movements of stock price under a refined empirical test. Using longitudinal stock price index data from 1991 to 1997, our findings suggest that cumulative return index in the Asian Pacific stock markets exhibited a consistently upward trend before the Chinese Lunar New Year, providing supporting evidence for the existence of the Chinese Lunar New Year Effect. Moreover importantly, the conclusion remains intact after the trend of price movements has been taken into account. Empirical findings of this kind cast doubt on the notion of the informational efficiency in the major Asian Pacific stock markets.