KLSE Long Run Overreaction and the Chinese New‐Year Effect
研究1986-1996年吉隆坡证券交易所马来西亚股票的长期过度反应和季节性效应，发现三年期极端收益股票随后反转，反向交易策略可获超额收益，并存在华人新年效应，类似美国市场的1月效应。
This study investigates long run overreaction and seasonal effects for Malaysian stocks quoted on the Kuala Lumpur Stock Exchange (KLSE), for the period 1986–1996. Stocks exhibiting extreme returns relative to the market over a three year period experience a reversal of fortunes during the following three years. There is also evidence that employing a contrarian trading strategy may yield excess returns. Of particular interest is the apparent existence of a Chinese New Year effect in both the level of market returns, and the overreaction profile for KLSE stocks. These seasonalities mirror the January‐effect observed in US markets.