We don’t really know for sure, but there have been studies of remote cultures that have little to no exposure to western music that suggest our emotional association is cultural rather than anything inherent about the chords themselves.
This article goes over a recent study in Papua New Guinea that is quite interesting. https://www.zmescience.com/science/news-science/are-minor-chords-sad-and-major-chords-happy-not-if-you-live-in-a-remote-papua-new-guinea-village/
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