Abstract
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.
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