Wan Mohd Farid Wan Zakaria , Nur Liyana Mohamed Yousop , Wan Muhd Faez Wan Ibrahim , Sharazad Haris , Syed Khusairi Tuan Azam
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The effect of Hungry Ghost Festival (HGF) on stock market returns and volatility: An empirical analysis of Asian stock markets
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.
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.
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