Return to search

Holiday effect of the Hong Kong stock market.

by Lam Suk-ting, Angelina, Lin Yuen-tung, Anthony. / Thesis (M.B.A.)--Chinese University of Hong Kong, 1995. / Includes bibliographical references (leaves 59-64). / ABSTRACT --- p.ii / ACKNOWLEDGMENTS --- p.iii / TABLE OF CONTENTS --- p.iv / LIST OF FIGURES --- p.vi / LIST OF TABLES --- p.vii / Chapter CHAPTER I. --- INTRODUCTION --- p.1 / Pre-Holiday Effect --- p.1 / Hong Kong Situation --- p.2 / Objectives of The Research --- p.3 / Outline of The Report --- p.3 / Chapter CHAPTER II. --- LITERATURE REVIEW --- p.4 / Literature on Holiday Effect --- p.4 / "Possible Explanations for the "" Holiday Effect""" --- p.7 / Literature Review on Other Anomalies --- p.10 / """January Effect""" --- p.10 / """ Firm Size Effect""" --- p.12 / """ Weekend Effect"" and ""Monday Effect""" --- p.14 / Monthly Effect'' --- p.15 / Literature on Hong Kong Market's Anomalies --- p.16 / Chapter CHAPTER III. --- DATA AND METHODOLOGY --- p.18 / Data --- p.18 / Holiday Selection --- p.19 / Data Source --- p.19 / Methodology --- p.20 / Procedure of Analysis --- p.21 / General Effect Before Holidays --- p.21 / General Effect After Holidays --- p.22 / Individual Holiday Effect --- p.22 / Length of Holiday vs. Market Performance --- p.25 / Theoretical Framework --- p.26 / Student's t Test For Two Separated Samples --- p.27 / Wilcoxon Signed Rank Test --- p.28 / One-Way ANOVA --- p.31 / Chapter CHAPTER IV. --- RESULT --- p.33 / General Pre-Holiday Effect --- p.33 / General Post-Holiday Effect --- p.35 / Individual Holiday Effect --- p.36 / The Pre-Holiday Effect Of Individual Holiday --- p.37 / Returns On Pre-Holiday Trading Day vs. Returns On Three Days Before Holiday --- p.39 / The Post-Holiday Effect Of Individual Holiday --- p.40 / Christmas-New Year Holiday Effect --- p.41 / The Relationship Between Length Of Holiday And Market Performance --- p.42 / Chapter CHAPTER V. --- FURTHER ANALYSIS OF RESULT --- p.44 / "Is the ""Pre-Holiday Effect"" a manifestation of other anomalies ?" --- p.45 / "Not A ""January Effect""" --- p.45 / "Not a "" Week-End Effect""" --- p.48 / Existence of the effect across the whole test period --- p.51 / Chapter CHAPTER VI. --- CONCLUSION --- p.53 / APPENDIX I. LIST OF GENERAL HOLIDAYS IN HONG KONG --- p.55 / APPENDIX II. LENGTH OF HOLIDAY VS. MARKET RETURN --- p.56 / APPENDIX III. CONSTITUENT STOCKS OF HANG SENG INDEX --- p.58 / BIBLIOGRAPHY --- p.59

Identiferoai:union.ndltd.org:cuhk.edu.hk/oai:cuhk-dr:cuhk_318272
Date January 1995
ContributorsLam, Suk-ting Angelina., Lin, Yuen-tung Anthony., Chinese University of Hong Kong Graduate School. Division of Business Administration.
PublisherChinese University of Hong Kong
Source SetsThe Chinese University of Hong Kong
LanguageEnglish
Detected LanguageEnglish
TypeText, bibliography
Formatprint, vii, 64 leaves : ill. ; 30 cm.
CoverageChina, Hong Kong, China, Hong Kong
RightsUse of this resource is governed by the terms and conditions of the Creative Commons “Attribution-NonCommercial-NoDerivatives 4.0 International” License (http://creativecommons.org/licenses/by-nc-nd/4.0/)

Page generated in 0.0019 seconds