The solar and lunar divide and the impact on Taiwan’s stock returns

Figures & data

Table 1. Solar/lunar CAR (1972–1990)

Date	Solar CAR				Lunar CAR
	−15	−1	+1	+15	−15	−1	+1	+15
1972 rat	0.008	6.892	6.663	1.815	0.229	2.276	1.015	5.098
1973 ox	1.796	11.617	13.623	16.996	1.018	6.638	8.062	10.629
1974 tiger	0.892	−2.259	−1.700	−2.558	−0.012	0.210	−0.311	−8.397
1975 rabbit	−1.651	−10.778	−11.955	1.624	2.543	19.351	20.658	19.105
1976 dragon	−2.013	9.692	12.291	21.295	3.640	9.109	6.113	6.429
1977 snake	1.669	16.353	20.886	17.579	−0.263	−5.539	−9.166	−17.539
1978 horse	−0.976	6.709	6.150	9.710	−3.075	−0.116	0.173	−1.748
1979 goat	1.224	−11.411	−11.771	−16.347	−1.262	−3.511	−2.215	−5.389
1980 monkey	− 0.241	5.466	7.822	4.766	0.228	0.873	0.294	5.433
1981 rooster	− 0.929	−1.131	−1.922	−0.679	0.360	3.776	4.016	8.851
1982 dog	0.108	2.141	1.262	0.849	−0.879	−1.291	−2.265	−4.592
1983 boar	−0.156	0.038	−0.036	1.772	−0.231	3.642	4.478	16.164
1984 rat	−0.640	5.662	0.338	9.574	0.498	5.146	6.180	11.204
1985 ox	−0.308	−1.647	−2.627	−3.071	0.067	0.849	−1.096	1.952
1986 tiger	0.251	3.189	3.739	4.098	0.154	5.487	6.647	11.463
1987 rabbit	0.228	4.292	6.577	12.847	0.808	6.691	8.961	12.280
1988 dragon	−2.290	−19.079	−19.027	−4.610	0.691	14.779	15.295	13.867
1989 snake	−3.915	−20.082	−25.005	−7.274	−2.347	2.816	6.565	12.712
1990 horse	−2.799	13.507	15.859	33.629	0.094	19.269	20.163	16.833
Average	−0.513	1.009	1.114	5.369	0.090	4.698	4.908	6.035

Table 2. Solar/lunar CAR (1991–2014)

Date	Solar CAR				Lunar CAR
	−15	−1	+1	+15	−15	−1	+1	+15
1991 goat	−2.687	−2.513	−8.687	−15.954	6.505	16.968	21.040	15.792
1992 monkey	−0.405	2.796	3.063	13.791	0.867	9.471	6.568	3.325
1993 rooster	0.412	−10.768	−11.806	−13.289	−3.784	−1.029	−5.133	8.834
1994 dog	3.452	20.815	26.363	18.723	0.575	6.867	2.335	−7.913
1995 boar	−0.234	6.182	5.150	−4.046	−1.647	−8.524	−8.199	−3.497
1996 rat	1.175	4.231	3.695	1.558	2.348	2.457	3.614	0.407
1997 ox	−0.008	1.575	−0.077	6.046	−0.459	1.930	2.792	8.325
1998 tiger	−0.650	−2.545	−2.889	−3.633	−1.612	−0.907	2.970	9.570
1999 rabbit	−1.556	−9.365	−13.598	−12.362	−3.193	−7.169	−2.547	4.053
2000 dragon	−0.928	7.849	11.427	16.973	−0.926	7.906	9.441	3.546
2001 snake	1.794	−10.892	−6.835	9.180	−1.115	19.806	16.894	23.132
2002 horse	−0.893	4.231	5.106	8.685	0.233	7.674	8.389	12.132
2003 goat	−1.176	−6.574	−4.961	4.889	2.849	6.469	2.782	−5.337
2004 monkey	1.091	1.493	4.022	9.400	0.060	6.867	8.683	11.475
2005 rooster	−0.555	3.785	3.841	−1.066	0.606	3.039	4.320	6.076
2006 dog	0.031	4.434	−3.107	3.487	1.402	−1.282	−0.331	−2.166
2007 boar	−0.317	2.425	3.658	2.664	−0.148	−1.602	−0.446	−2.756
2008 rat	0.468	−1.073	−3.251	−12.576	1.779	−4.526	−6.111	5.344
2009 ox	−0.071	−1.463	0.843	−9.234	2.306	−7.770	−7.488	−3.418
2010 tiger	1.514	6.434	6.674	3.197	−2.499	−8.818	−7.242	−4.782
2011 rabbit	0.204	2.868	3.455	2.666	0.400	4.046	3.675	−0.630
2012 dragon	0.805	2.561	0.851	8.663	0.257	2.478	4.851	10.905
2013 snake	0.055	1.176	2.206	1.947	−1.094	2.643	3.108	4.006
2014 horse	−0.114	1.972	1.984	9.406	0.145	−0.441	−2.810	0.885
Average	0.059	1.235	1.389	2.046	0.157	2.487	2.680	4.165
1972–2014 average	−0.194	1.135	1.268	3.515	0.128	3.421	3.621	4.955

Figure 1. Co-movement of trading value and stock returns, the lunar case.

Figure 2. Co-movement of trading value and stock returns, the solar case.

Figure 3. The solar/lunar CAR₊₁₅ for 1972–2014.

Table 3. The linear short-run Granger causal relationship for the CARs₁₅ of solar/lunar New Year (1991–2014)

Null hypothesis	F-statistic	Prob.
Lunar15 does not Granger cause solar15	1.019	0.371
Solar15 does not Granger cause lunar15	0.403	0.671

Table 4. The nonlinear Granger causality of Hristu-Varsakelis and Kyrtsou (2008) with respect to the solar New Year impacting the lunar New Year

	Solar doesn’t cause lunar		Lunar doesn’t cause solar
	F statistics	P value	F statistics	P value
−Rsolar, RLunar	4.766	0.035	5.985	0.019
Rsolar, −RLunar	0.367	0.549	2.405	0.129
Rsolar, RLunar	0.340	0.563	1.307	0.260

Figure 4. Various CARs for the 12 birth signs 1972–2014.

Hristu-Varsakelis, D., & Kyrtsou, D. (2008). Evidence for nonlinear asymmetric causality in US Inflation, metal, and stock returns. Discrete Dynamics in Nature and Society, 138547.

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