Business Finance in Less Developed Capital Markets

By Klaus P. Fischer; George J. Papaioannou | Go to book overview

5
The Chinese New Year, Common- Stock Purchasing, and Cumulative Raw Returns: Is Taiwan's Stock Market Informationally Efficient?

CHENG FEW LEE, GILI YEN, and CHINGFU CHANG


RESEARCH OBJECTIVES

Following Fama, Fisher, Jensen, and Roll ( 1969) pioneering study, researchers have widely used event studies to examine market efficiency. Studies in the early 1970s pointed to the confirmation of market efficiency ( Fama 1976). However, a few years later, more and more evidence against market efficiency was reported ( Jensen 1978). It is no surprise that a rapidly growing literature has addressed this unresolved issue.

In view of the fact that a unanimous opinion on market efficiency has yet to be formed, this chapter first proposes an improved testing methodology and then provides some empirical evidence bearing on this unresolved issue. Specifically, this study proposes market suspension around the Chinese Lunar New Year as an event to be used to study market efficiency. Since both financial and real transactions come to a halt during this period, most will agree that the festival constitutes a purely nominal event. Hence the quagmire of judging whether a chosen event is "truly" or "seemingly" nominal can be avoided. When annual data for the Taiwan stock market from the period 1975 to 1984 are analyzed, it is found that in most years shrewd investors could beat the market by purchasing common shares in advent of the New Year and selling them off some time after the stock market reopened.

This chapter is divided into five sections. In addition to this introductory section that describes the research and objectives of the present study, the remaining portion of the chapter is organized as follows. The second section describes the proposed refined methodology. The third section conducts empirical analysis. Discussion and interpretation of the empirical findings are presented in the fourth section. The fifth section concludes the chapter.

-101-

Notes for this page

Add a new note
If you are trying to select text to create highlights or citations, remember that you must now click or tap on the first word, and then click or tap on the last word.
One moment ...
Default project is now your active project.
Project items

Items saved from this book

This book has been saved
Highlights (0)
Some of your highlights are legacy items.

Highlights saved before July 30, 2012 will not be displayed on their respective source pages.

You can easily re-create the highlights by opening the book page or article, selecting the text, and clicking “Highlight.”

Citations (0)
Some of your citations are legacy items.

Any citation created before July 30, 2012 will labeled as a “Cited page.” New citations will be saved as cited passages, pages or articles.

We also added the ability to view new citations from your projects or the book or article where you created them.

Notes (0)
Bookmarks (0)

You have no saved items from this book

Project items include:
  • Saved book/article
  • Highlights
  • Quotes/citations
  • Notes
  • Bookmarks
Notes
Cite this page

Cited page

Style
Citations are available only to our active members.
Buy instant access to cite pages or passages in MLA, APA and Chicago citation styles.

(Einhorn, 1992, p. 25)

(Einhorn 25)

1. Lois J. Einhorn, Abraham Lincoln, the Orator: Penetrating the Lincoln Legend (Westport, CT: Greenwood Press, 1992), 25, http://www.questia.com/read/27419298.

Cited page

Bookmark this page
Business Finance in Less Developed Capital Markets
Table of contents

Table of contents

Settings

Settings

Typeface
Text size Smaller Larger Reset View mode
Search within

Search within this book

Look up

Look up a word

  • Dictionary
  • Thesaurus
Please submit a word or phrase above.
Print this page

Print this page

Why can't I print more than one page at a time?

Help
Full screen
/ 398

matching results for page

    Questia reader help

    How to highlight and cite specific passages

    1. Click or tap the first word you want to select.
    2. Click or tap the last word you want to select, and you’ll see everything in between get selected.
    3. You’ll then get a menu of options like creating a highlight or a citation from that passage of text.

    OK, got it!

    Cited passage

    Style
    Citations are available only to our active members.
    Buy instant access to cite pages or passages in MLA, APA and Chicago citation styles.

    "Portraying himself as an honest, ordinary person helped Lincoln identify with his audiences." (Einhorn, 1992, p. 25).

    "Portraying himself as an honest, ordinary person helped Lincoln identify with his audiences." (Einhorn 25)

    "Portraying himself as an honest, ordinary person helped Lincoln identify with his audiences."1

    1. Lois J. Einhorn, Abraham Lincoln, the Orator: Penetrating the Lincoln Legend (Westport, CT: Greenwood Press, 1992), 25, http://www.questia.com/read/27419298.

    Cited passage

    Thanks for trying Questia!

    Please continue trying out our research tools, but please note, full functionality is available only to our active members.

    Your work will be lost once you leave this Web page.

    Buy instant access to save your work.

    Already a member? Log in now.

    Oops!

    An unknown error has occurred. Please click the button below to reload the page. If the problem persists, please try again in a little while.