Beschreibung:
This paper investigates a newly-found solar term anomaly (effect) in China Shanghai Index as a supplementary to the existing literature of traditional calender effects. Based on a regression framework, the paper analyzes the solar term effect from multiple aspects: inter-solar-term analysis, full sample analysis at mean level and risk level as well as the turn of the solar term effect. Several solar terms show significantly positive and negative effect to the return (e.g. solar term 1, 3 and 4) as well as bringing high volatility (e.g.solar term 8, 11 and 14). The result is significant and robust under the Extreme Bound Analysis, various assumptions of error’s distribution in IGARCH model and even involving with other calender variables confirming the unique influence to the stock index by solar terms apart from other established calender anomalies.These findings give readers a new perspective to view the calender anomaly under the influence of traditional Chinese culture that solar terms affect the market through affecting investors’mood, expectation, emthusiasm, etc. which are good evidences to the"Culture bonus hypothesis”proposed by Chen and Chien (2011) and the possible influence by the Chinese culture in other Asian markets (Yuan and Gupta, 2014)