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Mood seasonality: Evidence from the Chinese A-share market

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Listed:
  • Wen, Fenghua
  • Liu, Zhen
  • Cao, jiahui
  • Zhang, Yun
  • Yin, Zhujia

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.

Suggested Citation

  • Wen, Fenghua & Liu, Zhen & Cao, jiahui & Zhang, Yun & Yin, Zhujia, 2022. "Mood seasonality: Evidence from the Chinese A-share market," Finance Research Letters, Elsevier, vol. 46(PA).
    • Handle: RePEc:eee:finlet:v:46:y:2022:i:pa:s1544612321002919
    DOI: 10.1016/j.frl.2021.102232
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    References listed on IDEAS

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    Cited by:

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    2. Mercik, Aleksander & Cupriak, Daniel & Zaremba, Adam, 2023. "Factor seasonalities: International and further evidence," Finance Research Letters, Elsevier, vol. 58(PA).

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