This study investigates a novel calendar anomaly in the Shanghai Composite Index (SSE Composite) based on the Nayin (纳音) Five Elements system, a cyclical classification embedded in the traditional Chinese sexagenary calendar (Heavenly Stems and Earthly Branches). Each two-year period within the sixty-year cycle is assigned one of five elemental attributes: Earth(土), Metal (金), Fire (火), Wood (木), or Water (水). Using daily trading data from December 1990 to February 2025 spanning 18 complete Nayin cycles, the study finds that Earth-element periods exhibit a 100% positive return rate (mean: +123.4%), while Metal-element periods universally display late-cycle declines (4/4 periods, mean late-segment return: −30.4%). Wood element periods tend toward negative returns (mean: −11.4%). Fire-element periods contain structural bottoms, and Water-element periods mirror the directional momentum of their predecessors (3/3 accuracy). A binomial test for Earth-period returns yields p = 0.095 (one tailed), with Cohen’s d = 1.50 versus non-Earth periods. These patterns are not replicated in the S&P 500 Index under the same calendar framework, suggesting a China-specific cultural behavioral channel consistent with theories of culturally embedded market sentiment. This paper contributes to the calendar anomalies literature by documenting a previously unexplored two year cyclical pattern linked to traditional Chinese metaphysical calendrics.

This study documents a novel, culturally embedded calendar anomaly in the Shanghai Composite Index (SSE Composite) derived from the Nayin (纳音) Five Elements system—a traditional Chinese sexagenary calendrical framework. Utilizing daily data from 1990 to 2025, the analysis reveals a significant correlation between elemental two-year periods and market performance. Key findings include: Earth-Element Dominance: Earth periods exhibit a 100% positive return rate (4/4) with a mean return of +123.4%. The effect size is substantial (Cohen’s d=1.50) compared to non-Earth periods. Metal-Element Declines: Metal periods universally display a structural peak-and-decline morphology, with an average −30.4% late-cycle decline. Water-Element Momentum: Water periods systematically mirror the directional momentum of their predecessors with 100% accuracy (3/3). These patterns fail to replicate in the S&P 500, suggesting a unique cultural-behavioral channel where traditional metaphysical cycles modulate investor sentiment in the Chinese market. This research provides the first empirical validation of Nayin-based cyclicality in financial asset pricing, offering a predictive framework for institutional and individual investors focused on the China-specific market. Keywords: Calendar anomaly, Chinese traditional calendar, Nayin Five Elements, Shanghai Composite Index, Cultural behavioral finance, Sexagenary Cycle, Market Sentiment Declaration of Interest The author declares no conflict of interest. To ensure the objectivity of this research, the author further declares that he holds no active personal trading positions in the securities discussed. The author's personal trading account has been inactive with zero transactions over the past five years.