tailieunhanh - Market behavior in "lucky" days

The purpose of this paper is to examine whether or not the markets behave differently in different days of a month merely due to the meaning(s) associated with the digit a particular day end with. We used multiple univariate tests to test the quality of means for lunar days ending 5, 8 and 9(lucky days) against other days. OLS regression was also utilized to test statistical significance for the target dates in both Lunisolar and Gregorian calendar for Heng Seng and S&P 500 daily returns. The study finds that Hang Seng’s returns are higher for the lunar days associated with good luck in the Chinese culture (days end with 8 and 9) and lower for the lunar days ending with 5(5 is associated with unlucky meaning). However, it fails to show similar pattern and results for the S&P 500 daily returns. The research finding provides further evidence that cultural beliefs and superstitions can affect stock market returns. The paper also raises a new perspective and potential reason to explain stock returns movements in different stock markets. It further proves the notion that a significant portion of market movements are caused by participants’ irrational behavior such as cultural beliefs and superstition. | Journal of Applied Finance Banking vol. 5 no. 2 2015 19-28 ISSN 1792-6580 print version 1792-6599 online Scienpress Ltd 2015 Market Behavior in Lucky Days Jian Zhang1 Alex Meisami2 and Jamshid Mehran3 Abstract The purpose of this paper is to examine whether or not the markets behave differently in different days of a month merely due to the meaning s associated with the digit a particular day end with. We used multiple univariate tests to test the quality of means for lunar days ending 5 8 and 9 lucky days against other days. OLS regression was also utilized to test statistical significance for the target dates in both Lunisolar and Gregorian calendar for Heng Seng and S P 500 daily returns. The study finds that Hang Seng s returns are higher for the lunar days associated with good luck in the Chinese culture days end with 8 and 9 and lower for the lunar days ending with 5 5 is associated with unlucky meaning . However it fails to show similar pattern and results for the S P 500 daily returns. The research finding provides further evidence that cultural beliefs and superstitions can affect stock market returns. The paper also raises a new perspective and potential reason to explain stock returns movements in different stock markets. It further proves the notion that a significant portion of market movements are caused by participants irrational behavior such as cultural beliefs and superstition. JEL classification numbers G14 G15 Keywords Behavioral Finance Abnormal Returns Superstition Lunisolar Calendar Chinese Culture Language 1 Introduction Previous findings suggest that natural events such as lunar cycles rain sunshine and seasonality influence market returns. Investors mood demeanor and beliefs seem to cause abnormal movements in the stock market. In addition there is evidence that the 1Jian Zhang Alumni of Mendoza College of Business University of Notre Dame . 2Alex Meisami Corresponding Author Judd Leighton School of Business and Economics .