Will Chinese Twenty-Four Solar Terms Affect Stock Return? A New Anomaly Found In Shanghai Index of China

This article analyzes the impact on the return of the stock index in China brought by the traditional Chinese twenty-four solar terms as new anomaly in stock market. Returns on Solar term No.1 and Solar term No.3 display high positive mean value and asymmetry to positive interval whereas on Solar term No.2 and Solar term No.4, returns are significantly negative through statistical analysis and dummy variable regression test. Returns on several weaker solar terms also exhibit special feature on returns and opposite effect against the first four terms correspondingly but not having such significant impacts on the dependent variable themselves