Abstract
This paper examines lunisolar calendar anomalies in the Taiwan stock market, particularly the solar term effect. Using the Taiwan Stock Exchange Capitalization Weighted Stock Index (TAIEX), the significance of the solar term effect was tested. Statistical results showed that the lowest and the highest average stock returns are observed on Cold Dew and White Dew, respectively. Additionally, we found that all of the solar terms with negative average stock returns occurred during the period of Grain Fills to Winter Solstice. Although many investors believe that the solar term effect exists in the Taiwan stock market, the results of this study appear to show that the solar term effect is a mere superstition. The analytical results may prove useful for future theoretical and empirical work on the stock market in Taiwan and elsewhere.
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