今回は、Posted: 04 Mar 2025に掲載された論文内容: “The Impact of Social Media Marketing on Consumer Behavior”
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元の論文は下記の通りです。
出典元：SSRN
それでは早速見ていきましょう。
St. Patrick’s Day Effect on Stock Market Returns: A Global Perspective
Introduction
St. Patrick’s Day, celebrated on March 17th, is not only a cultural festivity but also a potential influencer of stock market returns. This paper delves into the impact of St. Patrick’s Day on stock market performance, exploring the phenomenon known as the ‘St. Patrick’s Day Effect.’ By examining data from major global indices and employing robust methodologies, the study aims to shed light on how cultural celebrations can affect investor sentiment and market inefficiencies.
Literature Review
The Efficient Market Hypothesis states that asset prices reflect all available information, but anomalies like the St. Patrick’s Day Effect challenge this theory. Behavioral Finance studies show that psychological factors, including investor sentiment, play a crucial role in financial decision-making. Previous research on holiday effects suggests that events like St. Patrick’s Day can influence market behavior and returns, highlighting the need to consider cultural factors in financial analysis.
Data Collection and Analysis
Data from major stock market indices, including the S&P 500, FTSE 100, SEE Composite Index, Nikkei 225, and ASX 200, were collected and analyzed to capture diverse economic contexts. Daily stock prices from 1990 to 2024 were examined, revealing non-normal distributions and volatility clustering. To analyze stock returns around St. Patrick’s Day, the study employed ARMA(1,1)-GARCH(1,1) models, accounting for autocorrelations and changing volatility for robust analysis.
Results and Interpretation
The study’s analysis of the US stock market, particularly the S&P 500 and DJIA, revealed a significant positive effect of St. Patrick’s Day on stock returns, especially in the days leading up to the holiday. However, post-holiday effects were not significant. In contrast, international markets showed mixed results, with only Australia exhibiting a significant St. Patrick’s Day effect. The presence or absence of this effect in different markets underscores the influence of cultural relevance and investor sentiment on market outcomes.
Implications and Conclusion
The findings of this study provide evidence of the St. Patrick’s Day Effect on stock market returns, emphasizing the impact of cultural events on investor sentiment and market behavior. While the US and Australia showcased a significant anomaly around St. Patrick’s Day, other markets like the UK, China, and Japan did not exhibit the same effect, indicating varying levels of cultural influence and holiday celebrations. This study underscores the importance of considering cultural factors in understanding market anomalies and investor behavior, offering valuable insights for future research in Behavioral Finance. By exploring the intersection of cultural celebrations and financial markets, we can gain a more comprehensive understanding of market inefficiencies and investor sentiment dynamics.
