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Lunar Calendar Effect: The Influence of the Chinese Farmer s Almanac on the Equity Markets in East Asia

Proc IWIF-II, 2007, Chengdu. www.swingtum.com/institute/IWIF. 2. Theme. to contribute new insights on the role of bounded rationality in the formation of investor psychology CFA- lunar calendar effects- is an important source of cultural information that may influence investor mood in the equity ma

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Lunar Calendar Effect: The Influence of the Chinese Farmer s Almanac on the Equity Markets in East Asia

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    1. Proc IWIF-II, 2007, Chengdu www.swingtum.com/institute/IWIF 1 Lunar Calendar Effect: The Influence of the Chinese Farmer’s Almanac on the Equity Markets in East Asia Wei-han Liu Douglas Miller

    2. Proc IWIF-II, 2007, Chengdu www.swingtum.com/institute/IWIF 2 Theme to contribute new insights on the role of bounded rationality in the formation of investor psychology CFA- lunar calendar effects- is an important source of cultural information that may influence investor mood in the equity market outcomes. Data mining techniques are employed to study the statistical relationship between information reported in the CFA and equity market status for eleven East Asian countries from 1995 to 2004. CFA data have strongest explanatory power for equity market status in Taiwan and South Korea, but the set of significant explanatory variables are different for the two markets. discusses the behavioral implications of these country-specific disparities in the impact of CFA information.

    3. Proc IWIF-II, 2007, Chengdu www.swingtum.com/institute/IWIF 3 Bounded Rationality people may make suboptimal decisions due to restrictions on information received, limited cognition capacity, biases, emotion, and mood. trading decisions may be framed and patterned by emotion and mood (Steenbarger 2003; Kuvaas and Selart 2004). trading activity is an expression of social psychology that may be linked to culture (Triandis 1995; Markus and Kitayama 1991; Au et al. 2003; Yuen and Lee 2003). field-dependent cultural differences may reflect peoples’ attitudes toward risk and influence investment decisions (Weber and Hsee 1999).

    4. Proc IWIF-II, 2007, Chengdu www.swingtum.com/institute/IWIF 4 Calendar Effects SOLAR CALENDAR SYSTEM- the January effect, weekend effects, and holiday effects (Campell 1997) WHAT ABOUT LUNAR CALENDAR SYSTEM? Yuan, Zheng, and Zhu 2006; Dichev and Janes 2002– MOONSTRUCK ONLY? stock returns are lower on the days around a full moon than on the days around a new moon

    5. Proc IWIF-II, 2007, Chengdu www.swingtum.com/institute/IWIF 5 CFA Public and popular information for every aspect of daily life people in East Asia possess a high degree of collectivism? play a potentially important role in determining group-behavior

    6. Proc IWIF-II, 2007, Chengdu www.swingtum.com/institute/IWIF 6

    7. Proc IWIF-II, 2007, Chengdu www.swingtum.com/institute/IWIF 7

    8. Proc IWIF-II, 2007, Chengdu www.swingtum.com/institute/IWIF 8

    9. Proc IWIF-II, 2007, Chengdu www.swingtum.com/institute/IWIF 9

    10. Proc IWIF-II, 2007, Chengdu www.swingtum.com/institute/IWIF 10

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