Are investors moonstruck? Further international evidence on lunar phases and stock returns

Keef, Stephen P.; Khaled, Mohammed

doi:10.1016/j.jempfin.2010.11.002

Cited by 35 publications

(17 citation statements)

References 16 publications

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“…In addition, the lunar effect was independent of other calendar anomalies such as the January effect, the day-of-week effect, the calendar month effect, or the holiday effect. Keef and Khaled (2011) confirmed the findings of Yuan et al (2006) and Dichev and Janes (2003). They also used an international sample.…”

Section: Literature Reviewsupporting

confidence: 70%

“…This paper is not the first attempt to test the relation between lunar phases and stock returns for Poland. The first study was by Keef and Khaled (2011) where Poland was one of 62 countries included in the cross-country sample with the research period ending in 2007. The results for Poland were not set apart from the international sample.…”

Section: Literature Reviewmentioning

confidence: 99%

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On the Rationality of Investors – Lunar Phases and Equity Returns in Poland

Lizińska

2017

Zeszyty Naukowe Uniwersytetu Szczecińskiego Finanse Rynki Finansowe Ubezpieczenia

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Purpose -The paper examines the popular belief that the cycles of the moon affect human moods, which is then reflected in investor behaviour. Hence, the relation between lunar phases and equity returns in Poland was examined. Design/methodology/approach -New (full) moons were called nine-day windows with the centre in the new (full) moon day. Arithmetic daily index returns and average daily and cumulative returns were calculated for the session days in the new and full moon windows. Then the lunar effect on the market portfolio was observed with additional analysis for size effect, calendar month effect, and half-of-the-month effect. A robustness check tested the results. Findings -Average returns around full moon dates were substantially lower than returns around new moon dates. For size-related indexes, the results were similar. However, for small companies the differences were somewhat smaller. Average returns both for bear and bull months were positive and quite similar during the new moon phase. Average returns for full moon phases were tangibly negative for bear months and much lower for bull month as compared with results for the new moon phase. Both the lunar and the half of the month effects seemed to be important for returns in Poland. Originality/value -The study concentrated on the lunar effect for returns on the Warsaw Stock Exchange. The applied methodology is new for studying the relation for Poland.

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Section: Literature Reviewsupporting

confidence: 70%

Section: Literature Reviewmentioning

confidence: 99%

On the Rationality of Investors – Lunar Phases and Equity Returns in Poland

Lizińska

2017

Zeszyty Naukowe Uniwersytetu Szczecińskiego Finanse Rynki Finansowe Ubezpieczenia

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“…This setting is ideal for studying the impact of environmental mood variables on trading behavior for three reasons. 3 A second generation of studies confirming the earlier evidence on stock returns has emerged (See Kliger and Levy 2003;Garrett, Kamstra, and Kramer, 2005;Kamstra, Kramer, and Levi, 2007;Chang et al, 2008;Dowling and Lucey, 2008;Keef and Khaled, 2011;De Silva, Pownall, and Wolk, 2012;Kamstra, Kramer, Levi, and Wermers, 2012). Some critical studies have also appeared.…”

Section: Introductionmentioning

confidence: 87%

Does mood affect trading behavior?

Kaustia¹,

Rantapuska²

2016

Journal of Financial Markets

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We test whether investor mood affects trading with data on all stock market transactions in Finland, utilizing variation in daylight and local weather. We find some evidence that environmental mood variables (local weather, length of day, daylight saving and lunar phase) affect investors' direction of trade and volume. The effect magnitudes are roughly comparable to those of classical seasonals, such as the Monday effect. The statistical significance of the mood variables is weak in many cases, however. Only very little of the day-to-day variation in trading is collectively explained by all mood variables and calendar effects, but lower frequency variation seems connected to holiday seasons. JEL-classification: D03, G11, G12

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“…Kunkel, Compton and Beyer 2003;McConnell and Xu 2008). Recently, Keef and Khaled (2011) examine the influence of the TOM effect on the returns observed during lunar phases (new moon and full moon). Like McConnell and Xu (2008), they do not: (i) differentiate between TOM days and turn of the year (TOY) days or (ii) test for a temporal influence.…”

Section: Introductionmentioning

confidence: 99%

A note on the turn of the month and year effects in international stock returns

Khaled

Keef

2012

The European Journal of Finance

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This examination of the turn of the month (TOM) and turn of the year (TOY) effects in 50 international stock indices, for the period 1994-2006, characterises the degree that the effects are influenced by: (i) the gross domestic product of the economy, (ii) the sign of the return on the prior day (called the prior day effect), (iii) a temporal indicator and (iv) the Monday effect. These effects are assessed by the use of an estimated generalised least squares (EGLS) panel regression model incorporating panel-corrected standard errors. Three important results relating to the TOM and TOY effects are observed. When the prior day effect on control days is used as the reference and controls are made for market development and year, we find that: (i) there is a relatively enhanced return on all TOM days, (ii) there is a relatively enhanced return on good TOY days and (iii) returns of bad TOY days are not remarkable.Keywords: turn of the month effect; turn of the year effect; Monday effect; international stock indices; between country * Corresponding author.

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Are investors moonstruck? Further international evidence on lunar phases and stock returns

Cited by 35 publications

References 16 publications

On the Rationality of Investors – Lunar Phases and Equity Returns in Poland

On the Rationality of Investors – Lunar Phases and Equity Returns in Poland

Does mood affect trading behavior?

A note on the turn of the month and year effects in international stock returns

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