Mood seasonality: Evidence from the Chinese A-share market

• DOI: 10.1016/j.frl.2021.102232
• Publication Date: 2021-06-18T03:02:32Z
• Authors: Fenghua Wen; Zhen Liu; jiahui Cao; Yun Zhang; Zhujia Yin
• Keywords: 0502 economics and business; 05 social sciences

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.