Mood seasonality: Evidence from the Chinese A-share market

Fenghua Wen, Zhen Liu, Jiahui Cao, Yun Zhang and Zhujia Yin

Finance Research Letters, 2022, vol. 46, issue PA

Abstract: Seasonality is typical in the stock market, and a specific month reflects investors' mood. During the same calendar months, the cross-sectional stocks' better or worse performance relative to other stocks in specific months signifies investor mood seasonality. Using the Chinese A-share market's monthly data from 1999 to 2019, we find that the mood seasonality effect is significant. Besides, there is a positive relationship between mood beta and stock return during a congruent mood period. Moreover, the investment strategy can obtain a significantly positive average return based on February's mood beta.

Keywords: Investor mood; Seasonality; Investment strategy (search for similar items in EconPapers)
Date: 2022
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Citations: View citations in EconPapers (2)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:finlet:v:46:y:2022:i:pa:s1544612321002919

DOI: 10.1016/j.frl.2021.102232

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