Proceedings of the 45th International Academic Conference, London

AN ANOMALY IN HONG KONG STOCK MARKET

DAVID CHUI

Abstract:

The Eastern market wisdom of “May is poor, June is bleak, and July will turn around” unveils an international stock markets dynamic that lower returns in May followed by even worse return in June but rebounding back to an upward trend in July. This wisdom is termed as “Eastern Halloween” effect in this paper which has some similarities with the traditional Halloween Effect but differing in duration and timing. This paper examines the Eastern Halloween effect on Hong Kong stock market and the results show that May and June period returns are superior than the returns on the rest of the calendar months in Hong Kong Stock Market.

Keywords: EMH, Stock Market Anomaly, Empirical, Eastern Halloween

DOI: 10.20472/IAC.2019.045.007

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