The results of this study indicate that the January effect has been replaced by a February effect in emerging Asian stock markets. The February effect may be a phenomenon reflecting investors’ response to the need for liquidity before the heavy-spending characteristic of the Chinese New Year, which requires investors to raise cash to finance their holiday expenditures. However, the effect exists only when the festival is in January. Contrary to the usual published studies on holiday effect, it was found that stock returns are lower before the heavy-spending holiday, followed by higher returns post holiday. I find evidence of a relationship between the February effect, heavy-spending holiday, and firm size. Analyses of the results of both month-of-the-year and heavy-spending holiday effects indicate that the anomalies are stronger among smaller firms.