Moon Phases and Rates of Return of WIG Index on the Warsaw Stock Exchange

Abstract

The influence of the moon on human behavior have been featured in many, not only scientific publications. This paper tests the hypothesis that the one-session rates of return of index WIG (Warsaw Stock Exchange) in the period of 16.04.1991-31.03.2015, calculated for each of the following phases: full moon, new moon, first and third quarter, are statistically different form zero (at the significance level of 95%). Calculations presented in this paper indicate that the one-session average rates of return for the sessions when the moon was in new phase, are statistically different from zero. In turn, the one-session average rates of return computed for each day of the week, when the moon was in one of analyzed phases (full, new, first and third quarter) did not differentiate from zero. However calculations of one-session average rates of return, regarding moon phases falling in a specific month displayed that they are statistically different from zero regarding: full moon sessions in February and June, the first quarter sessions in February and November, as well as the third quarter sessions in October.

Sustainability of the Self–Harnessing Natural Cycles for Leadership Development

“…From a business perspective two teams of researchers from the University of Michigan (Dichev & Janes, 2001;Yuan, Zheng, & Zhu, 2006) found that financial returns obtained by investors were significantly higher in the days surrounding new moon dates than in the days surrounding full moon dates. Subsequent studies have sought to explore this relationship further (see for example Borowski, 2015;Floros & Tan, 2013). Despite the interest in the lunar cycle and human behavior, the dominant view in the psychology literature is that there is in fact no relationship between mood and the lunar phases (Foster & Roenneberg, 2008;Rotton & Kelly, 1985).…”

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

“…Borowski (2015) reported that one-session average rates of return for sessions when the moon was in the new phase were statistically different from zero. Borowski (2016) reported that average daily returns were statistically higher than zero for big and small companies when the moon was in the new phase and for small firms when the moon was in the full phase. It is worth pointing out that the returns during sessions close to moon phases were calculated by Borowski (2015 and2016), while the other authors concentrated rather on returns calculated during a couple of sessions around the full or new moon.…”

“…The results for Poland were not set apart from the international sample. Research strictly on Poland was conducted by Borowski (2015 and2016). Borowski (2015) reported that one-session average rates of return for sessions when the moon was in the new phase were statistically different from zero.…”

“…Research strictly on Poland was conducted by Borowski (2015 and2016). Borowski (2015) reported that one-session average rates of return for sessions when the moon was in the new phase were statistically different from zero. Borowski (2016) reported that average daily returns were statistically higher than zero for big and small companies when the moon was in the new phase and for small firms when the moon was in the full phase.…”

“…The first studies that linked lunar phases with market returns were the empirical works by Dichev, Janes (2003) and Yuan, Zheng and Zhu (2006). The issue was also checked for the Polish capital market (Borowski, 2015, andBorowski, 2016). However, the results for Poland include only a one-day window which means it is possible that the entire market reaction was not included in equity prices.…”