Stock Market Anamolies : Comparative Empirical Study on Gregorian and Lunar Calender Effects

This paper aimed to investigate the existence of any calendar effect (DOW, MOY and Chinese cultural effect) in the selected Chinese populated countries (China, Hong Kong, Malaysia, Singapore and Taiwan) in term of lunar calendar as well as Gregorian calendar. Since OLS method is insufficient to test financial data due to the volatility clustering, this study employed ARCH model and its family including GARCH, TGARCH, and ARCH-M for the analysis by using Maximum Likelihood method. Based on time-varying volatility models, DOW and MOY effects as well as Chinese cultural effects hold in the selected stock markets but do not provide a conclusive result