The effect of Hungry Ghost Festival (HGF) on stock market returns and volatility: An empirical analysis of Asian stock markets

IF 1.7 Q3 MANAGEMENT

IIMB Management Review Pub Date : 2023-09-01 DOI:10.1016/j.iimb.2023.08.003

Wan Mohd Farid Wan Zakaria , Nur Liyana Mohamed Yousop , Wan Muhd Faez Wan Ibrahim , Sharazad Haris , Syed Khusairi Tuan Azam

引用次数: 0

Abstract

This study examines the effect of the Hungry Ghost Festival (HGF) on stock returns and volatility in five Asian stock indices. Shanghai demonstrated the highest average return and dispersion, while Singapore had the lowest. During the HGF, all countries’ kurtosis spiked, except for Philippines and Shanghai, signalling a high-risk investment with high returns. Finally, the current volatility of daily stock returns persists across countries and is influenced by previous shocks. Investment during the HGF may appear riskier and more volatile in some countries, but there is inconclusive evidence to conclude that the HGF had a significant effect on all markets.

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饥饿鬼节对股市收益率和波动性的影响——亚洲股市的实证分析

本研究考察了五个股指数在中国农历正月初五对股票收益和波动性的影响。上海表现出最高的平均回报率和分散度，而新加坡则最低。在HGF期间，除菲律宾和上海外，所有国家的峰度都出现飙升，表明这是一项高风险、高回报的投资。最后，当前股票日回报率的波动在各国持续存在，并受到以往冲击的影响。在一些国家，HGF期间的投资可能显得风险更大，波动性更大，但没有确凿证据表明HGF对所有市场都有重大影响。

本文章由计算机程序翻译，如有差异，请以英文原文为准。

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来源期刊

IIMB Management Review MANAGEMENT-

CiteScore

3.20

自引率

5.90%

发文量

审稿时长

68 days

期刊介绍： IIMB Management Review (IMR) is a quarterly journal brought out by the Indian Institute of Management Bangalore. Addressed to management practitioners, researchers and academics, IMR aims to engage rigorously with practices, concepts and ideas in the field of management, with an emphasis on providing managerial insights, in a reader friendly format. To this end IMR invites manuscripts that provide novel managerial insights in any of the core business functions. The manuscript should be rigorous, that is, the findings should be supported by either empirical data or a well-justified theoretical model, and well written. While these two requirements are necessary for acceptance, they do not guarantee acceptance. The sole criterion for publication is contribution to the extant management literature.Although all manuscripts are welcome, our special emphasis is on papers that focus on emerging economies throughout the world. Such papers may either improve our understanding of markets in such economies through novel analyses or build models by taking into account the special characteristics of such economies to provide guidance to managers.