The lunar moon festival and the dark side of the moon

We propose a new seasonal anomaly associated with the Lunar Moon Festival (LMF) and characterised by negative sentiment that we call the dark side of the moon. This effect not only reduces share turnover but also lowers return volatility and stock returns over a two-week period. It is strongest for China, Taiwan and South Korea where the LMF is a public or cultural holiday but also affects stock markets where overseas Chinese investors possess significant resources. Our robustness test results show that this effect is both stronger and more long lasting than the Moon Phases effect.