Holiday effects have been a hot topic in various disciplines, such as business, psychology, sociology and even more beyond. Numerous scholars have delved into this issue. Some of them mainly dwell on developed countries’ stock markets, typically showing abnormal returns around thanksgiving, Christmas, New Year, Easter and so on, while others focus on the relationship between stock markets in developing countries and holiday effect. This research will investigate the holiday effects in 7 selected Asian stock markets, including Mainland China, Hong Kong, Taiwan, Singapore, Malaysia, Japan, and South Korea. As for the Holiday effects, the author mainly focuses on Chinese New Year effect, with comparison to National Day and May Day effects. The research report includes stock return index data from 2000 to 2014. This study has both theoretical and practical significance. Theoretically the research results may contribute to the construction of theoretical models. Practically this study can help us have a better understanding of the relationship between holiday effects and stock markets, and may shed light to others who are interested in this field.