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

被引：0

作者：

Zakaria, Wan Mohd Farid Wan ^{[1
]}

Yousop, Nur Liyana Mohamed ^{[1
]}

Ibrahim, Wan Muhd Faez Wan ^{[2
]}

Haris, Sharazad ^{[1
]}

Azam, Syed Khusairi Tuan ^{[3
]}

机构：

[1] Univ Teknol MARA, Fac Business & Management, Cawangan Johor, Segamat, Malaysia

[2] Univ Teknol MARA, Fac Business & Management, Cawangan Sarawak, Samarahan, Malaysia

[3] Univ Teknol MARA, Fac Accounting, Cawangan Johor, Segamat, Malaysia

来源：

IIMB MANAGEMENT REVIEW | 2023年 / 35卷 / 03期

关键词：

Hungry ghost festival; Event study; Generalised autoregres; sive conditional; heteroscedasticity; Rare event; Asian stock market; DECISION;

D O I：

10.1016/j.iimb.2023.08.003

中图分类号：

C93 [管理学];

学科分类号：

12 ; 1201 ; 1202 ; 120202 ;

摘要：

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 cur-rent 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.(c) 2023 Published by Elsevier Ltd on behalf of Indian Institute of Management Bangalore. This is an open access article under the CC BY-NC-ND license (http://creativecommons.org/licenses/ by-nc-nd/4.0/)

引用

页码：258 / 266

页数：9

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