Chinese Lunar New Year effect, investor sentiment, and market deregulation

Chia-Chen Teng and J. Jimmy Yang

Finance Research Letters, 2018, vol. 27, issue C, 175-184

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.

Keywords: Chinese Lunar New Year (CLNY); Market deregulation; Emotion (search for similar items in EconPapers)
JEL-codes: G02 G12 G18 (search for similar items in EconPapers)
Date: 2018
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Citations: View citations in EconPapers (6)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:finlet:v:27:y:2018:i:c:p:175-184

DOI: 10.1016/j.frl.2018.03.003

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