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Chinese Lunar New Year Effect, Investor Sentiment, and Market Deregulation

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Chinese Lunar New Year Effect, Investor Sentiment, and Market Deregulation

Chia-Chen Teng and Jimmy Yang "Finance Research Letters" Science Direct 10 pages 2018

https://www.sciencedirect.com/science/article/pii/S1544612317305640 Cite this Publication
Journal Details

Finance Research Letters, 2018 Vol. 27 Pages 175-184

Keywords
Finance
Journal Article, Academic Journal

Overview

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.

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