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Publication
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| Research Title |
Lunar New Year Effect in ASEAN+6 Stock Markets |
| Date of Distribution |
6 January 2022 |
| Conference |
| Title of the Conference |
SIBR 2022 Tokyo Conference on Interdisciplinary Business and Economics Research |
| Organiser |
Society of Interdisciplinary Business Research |
| Conference Place |
Hotel MyStays Ochanomizu, Second Floor |
| Province/State |
Tokyo, Japan |
| Conference Date |
6 January 2022 |
| To |
7 January 2022 |
| Proceeding Paper |
| Volume |
11 (2022) |
| Issue |
1 (January) |
| Page |
t22-035 |
| Editors/edition/publisher |
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| Abstract |
The purpose of this research is to study the effect of Lunar New Year in ASEAN+6
stock markets consisting of 12 stock markets: Thailand (SET index), Philippine (PSE
composite index), Malaysia (FTSE Bursa KLCI index), Indonesia (JKSE composite
index), Singapore (FTSE Straits Times index), China (Shanghai composite index and
Shenzhen composite index), South Korea (Korea composite index), Japan (Nikkei 225
Index), Australia (ATX index), India (BSE India Sensex 30 Index), and New Zealand
(NZX 50 index) using the artificial neural network. The first section data are closing
index price from January 1, 2011, to September 23, 2016, for creating the artificial
neural network model and selected appropriate the artificial neural network model
forecast the second section data from September 26, 2016, to August 31, 2020.
Appropriate the artificial neural network model is the smallest mean absolute
percentage error value. Then use the second section data to calculate the average
abnormal return (AAR) and the cumulative average abnormal return (CAAR) for 20
days before Lunar New Year and 20 days after Lunar New Year. This study finds that
the artificial neural network model gives forecasting accuracy with mean absolute
percentage error value of each stock markets include SET Index (0.6139), PSE
composite index (0.8307), FTSE Bursa KLCI Index (0.4620), JKSE composite index
(0.6532), FTSE Straits Times Index (0.7515), Shanghai composite index (0.7486),
Shenzhen composite index (0.9848), Korea composite index (0.6391), Nikkei 225
Index (0.7763), ATX index (0.8147), BSE India Sensex 30 Index (0.7116), and NZX
50 index (0.5209), respectively. The results from the CAAR approach show that return
of actual index price and return of forecasting to CAAR for 20 days before Lunar New
Year and 20 days after Lunar New Year was not found significant, which means there
is no difference between the return of actual index price and return of forecasting.
However, the results from the AAR approach are a significantly average abnormal
return between 20 days before Lunar New Year and 20 days after Lunar New Year. |
| Author |
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| Peer Review Status |
มีผู้ประเมินอิสระ |
| Level of Conference |
นานาชาติ |
| Type of Proceeding |
Full paper |
| Type of Presentation |
Oral |
| Part of thesis |
true |
| Presentation awarding |
false |
| Attach file |
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| Citation |
0
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Journal Publication
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