A Study On The Solar Term Effects Of Stock Market

According to Efficient Market Hypothesis(EMH)and Capital Asset Pricing Model,the price of securities in the capital market has already reflect all available information,which implies that the future trend of asset prices should follow the random walk.However,a large number of documents show that there are many visions in the securities market,one of which is an important one called the calendar effect.Calendar effect refers to the financial market to show the date associated with the abnormal income.The existing literature shows that the calendar effect has a variety of forms,mainly including the month effect,the week effect,holiday effects and so on.Foreign scholars have put forward a lot of new theoretical framework to explain these calendar visions,such as tax loss selling,window dressing,information effects,investor sentiment etc.Among them,some have opened up new ideas for scholars to study calendar effects from other dimensions such as climate,culture and so on.This paper investigates the relationship between stock market operation and solar terms.The empirical study on the least squares regression and the ARMA-GARCH mixed model with the dummy variables are carried out on the daily returns of the Shanghai Composite Index,the Shenzhen Composite Index,the Shanghai and Shenzhen 300 Index and the other five market indices from 1997 to 2016 respectively.The empirical results show that there is a strong positive spring effect in the Chinese stock market.The other markets of the solar terms of the test showed that:there is a solar-saving effect in Taiwan,Hong Kong,Singapore stock market,but there is no in Japan’s and South Korea’s stock market,which suggests that the traditional culture does run a certain degree of influence of the stock market.In addition,the sub-interval sample test shows that the solar terms of the stock markets are stable and the effects can not be explained by related calendar anomalies.For the different performances of the solar terms in Chinese mainland,Taiwan,Hong Kong and Singapore,he believes that the weather conditions have something to do with the differentiation.The existence of solar term effects reveals that there’re some problems in information management and behavior of participants in China’s stock market,which probably result from the dual effects of traditional culture and weather on emotions.Based on the conclusion of the study,he puts forward some suggestions on improving the inherent defects of China’s stock market,such as improving the information disclosure system,paying attention to the time window of information release,reminding investors of the impact of irrational factors and so on.