This study aims to investigate the effect of the Hungry Ghosts Festival (HGF) on the stock returns and volatility of five prominent Asian stock indices: Singapore, Malaysia, the Philippines, Shanghai, and Hong Kong. The analysis, from January 2011 to December 2020, reveals that Shanghai exhibited the highest average return and dispersion over this extensive timeframe, while Singapore displayed the lowest. During the HGF, a marked elevation in kurtosis is observed across all countries except for the Philippines and Shanghai, implying an association with high-risk investment and the potential for heightened returns. Applying the ordinary least square (OLS), a notable negative correlation between the HGF period and Singapore is identified, suggesting a relatively diminished significance of the HGF's influence. Concerning volatility, the GARCH (1,1) model indicates substantial adverse effects on return volatility for Singapore and Shanghai, with Hong Kong as the exception. Conversely, Malaysia and the Philippines show significant positive effects, indicating varying degrees of return volatility during the HGF, with Malaysia experiencing lower and the Philippines higher volatility. Finally, the prevailing volatility of daily stock returns maintains consistency across the examined countries and is influenced by preceding shocks. While investment during the HGF might seem to entail increased risk and volatility in certain countries, the available evidence does not explicitly support the assertion that the HGF exerted a significant effect on all the analysed markets.
