The dispositional effects of holidays on investor sentiment: Therapeutic and hygienic

Abstract

Research in behavioral finance has shown that holidays affect investor sentiment, which in turn affects stock market returns and stock prices. These studies have focused on the relationship between holidays and stock prices and stock market returns, but little attention has been paid to how investor sentiment actually changes during holidays. This paper investigates the dispositional effects of holidays on investor sentiment using social media messages from stock market investors and natural language processing techniques. We analyze the changes in investor sentiment that occur during holidays by using trading hours as a control sample and holidays as a treatment sample. The results of the study indicate that the stock market moves from the trading session into any form of holiday period, leading to an elevation in investor sentiment, demonstrating the therapeutic effect of holidays on investor sentiment. However, the therapeutic effect of holidays on investor sentiment diminishes as the holiday proceeds and manifests a hygienic effect. The hygienic effect of holidays on investor sentiment is evidenced by the fact that they do not significantly boost investor sentiment, but they can maintain a certain level of investor sentiment. This study has important implications for people's understanding of holidays in the stock market as well as for stock market policy making.

Keywords

• Investor sentiment
• Market closure
• Holiday effects
• Social media
• Natural language processing