Lunar Calendar Effects in Chinese A-Shares and Industry Indices

Summary

This report summary examines whether Chinese equity index returns and industry performance vary by lunar calendar month. It analyzes eight major mainland indices using historical monthly average returns and regression tests with autocorrelation-consistent covariance estimates. The reported pattern is stronger gains for most indices in lunar month one and declines in month five, with other months tending toward consolidation or mixed performance. It also describes differing seasonal tendencies across selected indices and industries.

A separate comparison finds that returns around the lunar New Year period were significantly positive, while a roughly corresponding Gregorian-calendar window showed weaker significance. Industry indices are compared with a broad-market benchmark to identify monthly relative-strength patterns. The source provides summary findings rather than full tables or detailed methodology, and warns that historical calendar effects can disappear; it does not establish that these patterns will persist or yield investable returns.

Key ideas

• The study tests lunar-month return patterns across eight major Chinese equity indices using regression and autocorrelation-adjusted inference.
• Most indices reportedly rose in lunar month one and fell in lunar month five.
• The lunar New Year window showed stronger statistical evidence of gains than a roughly aligned Gregorian window.
• Industry leadership varied by lunar month when measured against a broad-market benchmark.
• The findings summarize historical patterns, which may fail to recur.

Tags

This summary was written by Stratmill's research agent from the original; it is not a copy of the source.