TitleChinese Lunar New Year Effect, Investor Sentiment, and Market Deregulation
Publication TypeJournal Articles
Year of Publication2018
AuthorsTeng, C-C, Yang, J
JournalFinance Research Letters
Volume27
Pagination175-184
Date Published2018
KeywordsDoctoral Program, Finance, MBA
Abstract

This paper provides empirical evidence and a behavioral explanation for the Chinese Lunar New Year (CLNY) effect and investigates whether the holiday effect weakens after market deregulation. Using emotion proxies from literature, we find that positive emotion plays an important role in contributing to higher returns surrounding the CLNY. We also show that the CLNY effect weakens when foreign investors’ participation increases, suggesting that the market deregulation may have contributed to this diminishing calendar anomaly.

URLhttps://www.sciencedirect.com/science/article/pii/S1544612317305640
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