An Investigation of the Chinese Lunar New Year Effect in stock returns: the case of Hong Kong

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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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Bibliographic Details
Main Author:	Zhou, Yi
Format:	Dissertation (University of Nottingham only)
Language:	English
Published:	2007
Subjects:	holiday effect
Online Access:	https://eprints.nottingham.ac.uk/21205/

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