Abstract
This study empirically investigates the impact of Lunar New Year on the January anomaly in Taiwan's stock market. The Lunar New Year is the most significant festival for ethnic Chinese around the world, wherever they come from. It is a very jubilant occasion mainly because it is the time when people take a break from work to get together with family and friends. We hypothesize that the withdrawal of capital from the stock market to meet financial needs during this festival would compromise the anomaly when the Lunar New Year is in January. Empirical results support our hypothesis that the anomaly exists only when the Lunar New Year is in February.
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