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Lunar calendar effect: evidence of the Chinese Farmer's Calendar on the equity markets in East Asia

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  • Wei-han Liu

Abstract

This paper examines the statistical relation between the Chinese Farmer's Calendar (CFC) and public market information in 10 East Asian equity markets during 1995–2004. CATREG and CART, two data mining techniques, are employed and the implications of the outcomes are discussed. The outcomes confirm that the CFC plays a supplementary role to market information in predicting the market rate of return. In addition to confirmation of lunar calendar effect by the CFC, CATREG outperforms in three markets: Taiwan, South Korea and Singapore. According to CART analyses, all the three markets value the funeral category of the CFC advice and this pattern coincides with the traditional wisdom of astrological knowledge. The latter two markets share the same set of CFC items while Taiwan has its own. This contrast indicates the market-dependent observance and different interpretation of the CFC items for determining an auspicious date for equity trading. The lunar calendar effect in the three equity markets is confirmed.

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  • Wei-han Liu, 2013. "Lunar calendar effect: evidence of the Chinese Farmer's Calendar on the equity markets in East Asia," Journal of the Asia Pacific Economy, Taylor & Francis Journals, vol. 18(4), pages 560-593.
    • Handle: RePEc:taf:rjapxx:v:18:y:2013:i:4:p:560-593
    DOI: 10.1080/13547860.2013.803841
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    Cited by:

    1. Yang, Ann Shawing, 2016. "Calendar trading of Taiwan stock market: A study of holidays on trading detachment and interruptions," Emerging Markets Review, Elsevier, vol. 28(C), pages 140-154.
    2. Xuejun Jin & Hongze Li & Bin Yu, 2023. "The day‐of‐the‐month effect and the performance of the dollar cost averaging strategy: Evidence from China," Accounting and Finance, Accounting and Finance Association of Australia and New Zealand, vol. 63(S1), pages 797-815, April.
    3. Wei-han Liu, 2019. "National culture effects on stock market volatility level," Empirical Economics, Springer, vol. 57(4), pages 1229-1253, October.

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