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Investor SAD Sentiment and Stock Returns in Taiwan

Author

Listed:
  • Ching-Ping Wang
  • Hung-Hsi Huang
  • Yong-Wei Chen

Abstract

Previous studies have demonstrated that investor sentiment affects trading behavior and stock returns, and is correlated with seasons and weather. In addition, a great deal of evidence supports the main systematic factors of the Fama-French (FF) three-factor model. This study presents both the seasonal affective disorder (SAD) model and the SAD-FF model to examine the influence of season and weather on Taiwan stock returns from 1991 to 2010. To determine whether SAD variables affect stock returns, the SAD and SAD-FF models include the additional, explanatory variable of the business cycle factor.

Suggested Citation

  • Ching-Ping Wang & Hung-Hsi Huang & Yong-Wei Chen, 2012. "Investor SAD Sentiment and Stock Returns in Taiwan," Emerging Markets Finance and Trade, Taylor & Francis Journals, vol. 48(0), pages 40-57, July.
    • Handle: RePEc:mes:emfitr:v:48:y:2012:i:0:p:40-57
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    Cited by:

    1. Chen, Kuan-Hau & Su, Xuan-Qi & Lin, Li-Feng & Shih, Yi-Cheng, 2021. "Profitability of moving-average technical analysis over the firm life cycle: Evidence from Taiwan," Pacific-Basin Finance Journal, Elsevier, vol. 69(C).
    2. Ali M. Kutan & Mehmet E. Yaya, 2016. "Armed conflict and financial and economic risk: evidence from Colombia," Risk Management, Palgrave Macmillan, vol. 18(2), pages 159-187, August.

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