Stock Market Seasonality and Chinese New Year Effects in the Far Eastern Markets

Abstract

Analyses of the so-called January effect and Chinese New Year (CNY) effect in the stock markets in | Malaysia, Singapore, Hong Kong and Thailand were carried out in this paper. It was found that the January effect was stron only in Hong Kong and Singapore. Returns wre found to be highly signifi. | cantin February and December in Malaysia. In Thailand, no month showed any different returns from the others. With regards to the CNY effect, three markets which have a large Chinese involvement | showed significant positive returns surrounding the celebration. In Malaysia, the effect was especially more pronounced ive days after the market was open following the CNY holidays. Daily return 40 | days preceding the CNY were also high. The CNY effect was also observed in Singapore and Hong Kang, especially prio 0 the fesive season, The rally started as carly as 40 days befor th celebra- tion. Lastly, there was no CNY effect in Thailand. One obvious reason is tha this market does not have many Chinese investors. Based on the resus, the pape argues that igh urns in January were | due mostly o the CNY rally.