Chinese New Year Effect in Asian Stock Markets

Abstract

This paper explores the impact of Chinese New Year on stock prices, known as the Chinese New Year Effect, in Hong Kong, Japan, Malaysia, Singapore, South Korea, and Taiwan. Our findings show that there is solid evidence for the existence of such effect. Using the Wilcoxon testing procedure, annualized 5-day cumulative returns before Chinese New Year are significantly higher than actual annual returns. On the other hand, there is no evidence that cumulative returns after Chinese New Year are significantly higher or lower than actual returns.