Mood seasonality: Evidence from the Chinese A-share market

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

doi:10.1016/j.frl.2021.102232

Cited by 9 publications

(6 citation statements)

References 16 publications

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“…Other literature finds similar results and confirms the existence of stock return seasonality, such as January is associated with the uplifted mood of the New Year period (Bergsma & Jiang, 2016; Thaler, 1987), March is associated with the highest recovery from seasonal affective disorder (SAD), and both September and October are related with the highest onset of the SAD effect (Kamstra et al, 2017). Building on the previous examples, studies related to China also find month seasonality (Wen et al, 2021) and weekday seasonality (Ali & Ülkü, 2020) of stock returns.…”

Section: Introductionmentioning

confidence: 73%

“…Since the Shanghai Stock Exchange and the Shenzhen Stock Exchange were established in 1990 and 1991, respectively, our sample includes monthly and weekly data from 1991 to 2020. We examine samples starting from 1991 and 2000 to 2020, unlike Wen et al (2021), because the Chinese stock market is not fully developed in the first several years. We test whether the empirical result and the predictive ability of mood beta would be affected by different sample periods.…”

Section: Introductionmentioning

confidence: 99%

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Mood Beta, Sentiment and Stock Returns in China

2022

SAGE Open

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We examine the cross-sectional seasonality of stock excess returns in China. We find that stocks’ historical excess returns are positively related to their future excess returns under a congruent-mood period and negatively associated with their future excess returns under a noncongruent-mood period. Besides, stocks with larger mood beta tend to outperform during mood periods, and this impact is still significant after differentiating companies. Moreover, consistent with our hypotheses, mood beta has stronger explanatory power after China’s unique Split-Share Structure Reform and RMB Exchange Rate Reform. Finally, mood beta has stronger explanatory power compared to sentiment beta during ascending and descending mood months.

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Section: Introductionmentioning

confidence: 73%

Section: Introductionmentioning

confidence: 99%

Mood Beta, Sentiment and Stock Returns in China

2022

SAGE Open

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“…Investors have the option of purchasing equities with high or low mood beta depending on the month's mood [3]. The trading method created in accordance with the conclusion offered a sizable excess return [4]. Research on stocks with lottery characteristics found consistency between stock seasonality and investor speculation [5].…”

Section: Literature Reviewmentioning

confidence: 99%

An Empirical Research of Seasonality in Chinese Stock Markets

Sun

2023

Advances in Economics, Business and Management Research

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Due to the expansion of the Chinese financial market, the characteristics and influencing factors of the Chinese stock market, including seasonality, have received increasing attention from researchers. This article covers the researchers' use of several techniques to examine the stock market's seasonality at various temporal and geographic scales, and then investigates the seasonality in the Chinese stock market. In order to focus on relatively stable stock market data, this article selected A-share data from January 1, 2011, to December 31, 2022 in the CSMAR database. The paper firstly used descriptive statistical methods to study the relationship between monthly average return rate over the entire study period and the average return rate of all data, as well as the relationship between the monthly returns and their volatility. To study the seasonality and volatility, this paper used ARIMA(1,1,1)-GARCH(1,1) model, which has good data match. The results of running these models show that there is a monthly effect in the Chinese market caused by Lunar New Year. Chinese stock markets do not have half-year effect. These results indicate that cultural and structural factors are important in shaping the seasonality of the Chinese stock market. Even considering the associated risks and uncertainties, trading strategies regarding seasonality in the stock market may still bring attractive returns.

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“…Moreover, corporate social responsibility (CSR) initiatives and the growing demand for sustainable products and services further contribute to the momentum of green investment in China . However, alongside these drivers, herd behavior emerges as a prominent phenomenon in the A-share market, where investors tend to follow the actions of others rather than making decisions based on fundamental analysis (Wang & Zhang, 2018). This herd behavior often leads to market inefficiencies and price distortions, impacting the allocation of resources and potentially hindering the growth of green investment initiatives .…”

Section: Introduction a Green Investment And Herding Behaviourmentioning

confidence: 99%

A Mediating Effect of News Information on the Driver of Green Investment and Herding Behaviour in China's A-Share Market

Faxing

2024

DREAM

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In recent years, the surge in interest and investment towards environmentally sustainable initiatives, particularly in emerging economies like China, has garnered significant attention. This paper investigates the intricate dynamics between green investment drivers, herd behaviour, and the mediating role of news information in China's A-share market. Drawing upon a comprehensive dataset spanning the recent years, this study employs advanced statistical techniques, including structural equation modelling, to analyse the relationships between the aforementioned variables. Firstly, it examines the primary drivers behind green investment in China, considering factors such as regulatory policies, corporate social responsibility initiatives, and market demand for sustainable products and services. Subsequently, the paper delves into the phenomenon of herd behaviour within the A-share market, exploring how investor decisions are influenced by the actions of others rather than fundamental market indicators. This aspect is particularly pertinent in the context of green investment, where social proof and conformity may play a significant role in shaping investment decisions. Moreover, the study elucidates the mediating effect of news information in this relationship. News media serves as a critical intermediary, disseminating information about regulatory changes, corporate sustainability initiatives, and market trends, which in turn influence investor sentiment and decision-making processes. By uncovering the mediating role of news information, this research provides valuable insights into the mechanisms driving green investment and herd behaviour in China's A-share market. Understanding these dynamics is crucial for policymakers, market participants, and sustainability advocates alike, as they seek to promote environmentally responsible investment practices and mitigate the adverse effects of herd behaviour on market stability and efficiency. Overall, this paper contributes to the growing body of literature on sustainable finance and behavioural economics by shedding light on the complex interplay between green investment drivers, herd behaviour, and the role of news information in shaping investor decisions in China's rapidly evolving financial landscape.

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Mood seasonality: Evidence from the Chinese A-share market

Cited by 9 publications

References 16 publications

Mood Beta, Sentiment and Stock Returns in China

Mood Beta, Sentiment and Stock Returns in China

An Empirical Research of Seasonality in Chinese Stock Markets

A Mediating Effect of News Information on the Driver of Green Investment and Herding Behaviour in China's A-Share Market

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