Publication in refereed journal
香港中文大学研究人员 ( 现职)
| 麦建理教授 (金融学系) |
全文
| 数位物件识别号 (DOI) http://dx.doi.org/10.1080/09603100500359575 |
引用次数
Scopushttp://aims.cuhk.edu.hk/converis/portal/Publication/18Scopus source URL
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摘要A strong pre-holiday effect is revealed in this study of Hong Kong stock returns. Importantly, the effect does not appear to be modulated by day-of-the-week effects, which themselves are highly volatile and inconsistent across various sub-periods. As documented in earlier studies for the 1970s and 1980s, a Chinese Lunar New Year (CLNY) effect has been highly significant in explaining Hong Kong's overall pre-holiday return effect. Re-examination of the issue here indicates that the effect has continued throughout the last 15 years. More tellingly, after controlling for Hong Kong holidays, a pre-US holiday return effect is absent from Hong Kong returns for the 1990-2005 sub-period despite its significance between 1975 and 1990. Besides confirming earlier evidence of an inherited US holiday effect in Hong Kong returns during the 1970s and 1980s, it is instructive to note that the waning US pre-holiday effect, as documented in various studies since, can be viewed through the prism of Hong Kong returns. While the US pre-holiday effect appears to have been purged, Hong Kong's own holiday effect, other than that relating to the CLNY, has generally weakened. Finally, despite the persistence of a strong CLNY pre-holiday daily return effect, a 'seasonal' run-up in stock returns in the weeks prior to the CLNY is less apparent than hitherto. ? 2005 Taylor & Francis.
着者McGuinness P.B.
期刊名称Applied Financial Economics
出版年份2005
月份11
日期1
卷号15
期次16
出版社Chapman & Hall
出版地United Kingdom
页次1107 - 1123
国际标準期刊号0960-3107
语言英式英语
