An Investigation of the Chinese Lunar New Year Effect in stock returns: the case of Hong Kong
ABSTRACT This study examines the pre-CLNY (Chinese Lunar New Year) effect in the pre-holiday returns of the Hang Seng index by using simplest generalized autoregressive conditional heteroskedasticty - GARCH (1, 1) model. The period investigated is from 2002 to 2007. This study reveals two major fin...
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| Format: | Dissertation (University of Nottingham only) |
| Language: | English |
| Published: |
2007
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| Online Access: | https://eprints.nottingham.ac.uk/21205/ |