Cultural New Year Holidays and Stock Returns Around the World

Financial Management, 2016, 45(1), 3-35

48 Pages Posted: 11 Dec 2012 Last revised: 8 Mar 2016

See all articles by Kelley Bergsma

Kelley Bergsma

Ohio University

Danling Jiang

College of Business, Stony Brook University

Date Written: March 17, 2015

Abstract

Using data from eleven major international markets that celebrate six cultural New Year holidays not on January 1st, we show that stock markets tend to outperform in days surrounding the cultural New Year. After controlling for firm characteristics, an average stock earns a 2.5 percent higher abnormal return across all markets in the month of the cultural New Year relative to other non-January times of the year. Further evidence suggests that a positive holiday mood in conjunction with cash infusions prior to the cultural New Year produces elevated stock prices, particularly among the stocks most preferred and traded by individual investors.

Keywords: Cultural New Year, Investor Mood, Individual Investors, Stock Returns, Cash Infusion

JEL Classification: G02, G12, G15

Suggested Citation

Bergsma, Kelley and Jiang, Danling, Cultural New Year Holidays and Stock Returns Around the World (March 17, 2015). Financial Management, 2016, 45(1), 3-35, Available at SSRN: https://ssrn.com/abstract=2187464 or http://dx.doi.org/10.2139/ssrn.2187464

Kelley Bergsma (Contact Author)

Ohio University ( email )

1 Ohio University
Athens, OH OH 45701
United States

Danling Jiang

College of Business, Stony Brook University ( email )

306 Harriman Hall
Stony Brook, NY 11794
United States

HOME PAGE: http://sites.google.com/site/danlingjiang

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