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The lunar moon festival and the dark side of the moon

Research output: Contribution to journalArticle

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The lunar moon festival and the dark side of the moon. / Kuo, Jing Ming; Coakley, Jerry; Wood, Andrew.

In: Applied Financial Economics, Vol. 20, No. 20, 2010, p. 1565-1575.

Research output: Contribution to journalArticle

Harvard

Kuo, JM, Coakley, J & Wood, A 2010, 'The lunar moon festival and the dark side of the moon', Applied Financial Economics, vol. 20, no. 20, pp. 1565-1575. https://doi.org/10.1080/09603107.2010.507172

APA

Kuo, J. M., Coakley, J., & Wood, A. (2010). The lunar moon festival and the dark side of the moon. Applied Financial Economics, 20(20), 1565-1575. https://doi.org/10.1080/09603107.2010.507172

Vancouver

Kuo JM, Coakley J, Wood A. The lunar moon festival and the dark side of the moon. Applied Financial Economics. 2010;20(20):1565-1575. https://doi.org/10.1080/09603107.2010.507172

Author

Kuo, Jing Ming ; Coakley, Jerry ; Wood, Andrew. / The lunar moon festival and the dark side of the moon. In: Applied Financial Economics. 2010 ; Vol. 20, No. 20. pp. 1565-1575.

Bibtex

@article{c9ada7f0d17e4495b3a900f970f169fb,
title = "The lunar moon festival and the dark side of the moon",
abstract = "We propose and adduce evidence for a new seasonal anomaly associated with the Lunar Moon Festival (LMF) in East Asian economies. While the LMF effect bears some resemblance to the festivity and vacation anomalies, it is mainly driven by nostalgia, historically negative associations, the full moon and uncertainty about future harvest prospects. This negative sentiment and associated increase in risk and loss aversion are responsible for reducing share turnover, return volatility and stock returns over a 2-week period. The LMF effect is the strongest for China, Taiwan and South Korea where it is not only celebrated as a public or cultural holiday but it also impacts on neighbouring stock markets where overseas Chinese investors possess significant resources. Robustness checks demonstrate that it has a distinctive and more pronounced impact than competing seasonal effects associated with lunar phases and the summer vacations.",
author = "Kuo, {Jing Ming} and Jerry Coakley and Andrew Wood",
year = "2010",
doi = "10.1080/09603107.2010.507172",
language = "English",
volume = "20",
pages = "1565--1575",
journal = "Applied Financial Economics",
issn = "0960-3107",
publisher = "Routledge",
number = "20",

}

RIS

TY - JOUR

T1 - The lunar moon festival and the dark side of the moon

AU - Kuo, Jing Ming

AU - Coakley, Jerry

AU - Wood, Andrew

PY - 2010

Y1 - 2010

N2 - We propose and adduce evidence for a new seasonal anomaly associated with the Lunar Moon Festival (LMF) in East Asian economies. While the LMF effect bears some resemblance to the festivity and vacation anomalies, it is mainly driven by nostalgia, historically negative associations, the full moon and uncertainty about future harvest prospects. This negative sentiment and associated increase in risk and loss aversion are responsible for reducing share turnover, return volatility and stock returns over a 2-week period. The LMF effect is the strongest for China, Taiwan and South Korea where it is not only celebrated as a public or cultural holiday but it also impacts on neighbouring stock markets where overseas Chinese investors possess significant resources. Robustness checks demonstrate that it has a distinctive and more pronounced impact than competing seasonal effects associated with lunar phases and the summer vacations.

AB - We propose and adduce evidence for a new seasonal anomaly associated with the Lunar Moon Festival (LMF) in East Asian economies. While the LMF effect bears some resemblance to the festivity and vacation anomalies, it is mainly driven by nostalgia, historically negative associations, the full moon and uncertainty about future harvest prospects. This negative sentiment and associated increase in risk and loss aversion are responsible for reducing share turnover, return volatility and stock returns over a 2-week period. The LMF effect is the strongest for China, Taiwan and South Korea where it is not only celebrated as a public or cultural holiday but it also impacts on neighbouring stock markets where overseas Chinese investors possess significant resources. Robustness checks demonstrate that it has a distinctive and more pronounced impact than competing seasonal effects associated with lunar phases and the summer vacations.

UR - http://www.scopus.com/inward/record.url?scp=77957743915&partnerID=8YFLogxK

U2 - 10.1080/09603107.2010.507172

DO - 10.1080/09603107.2010.507172

M3 - Article

AN - SCOPUS:77957743915

VL - 20

SP - 1565

EP - 1575

JO - Applied Financial Economics

JF - Applied Financial Economics

SN - 0960-3107

IS - 20

ER -

ID: 8636347