Moon Phases, Mood and Stock Market Returns

Abstract

We employ recent data from 59 international emerging and mature stock markets to provide new evidence of a lunar cycle (full and new moon) effect on their stock market returns. Using a TGARCH model, we further examine the linkages between efficient-market theory, calendar-related effects and investors' mood resulted from moon phases. The empirical results show significant full moon effects in 6 markets, and significant new moon effects in 8 markets. In line with the theory, we report significant positive effect of new moon on stock market returns in 5 cases (UK, Switzerland, Bangladesh, Chile and Cyprus), while a negative effect of full moon is reported for the case of Jordan only. In addition, we find that lunar effects are strongly influenced by the calendar anomalies (Monday effect and January effect); several markets -mostly emerging markets-show evidence of full/new moon effects as well as Monday/January effects (Bangladesh, Brazil, Chile, Tunisia, Belgium, Cyprus). Further, we prove that the lunar phases are stronger outside America. These findings are recommended to investors, financial managers and analysts dealing with international stock indices.

Aviation Accidents and Stock Market Reaction: Evidence from Borsa Istanbul

“…They document that stock returns are lower on the days around a full moon than on the days around a new moon. Floros and Tan (2013) also document the existence of new moon and full moon effects in some international stock markets. Lepori (2009) examines the relationship between air pollution and stock returns in Italy.…”

Pengaruh siklus bulan terhadap abnormal return saham dengan day effect sebagai variabel pemoderasi

“…Penelitian Floros & Tan (2013) bahwa terdapat efek bulan baru yang signifikan di delapan pasar di negara Inggris, Swiss, Australia, Bangladesh, Chili, Siprus, Argentina dan Tunisia. Penelitian ini dikuatkan juga oleh Kasilingam et al, (2020) bahwa pada pasar saham India telah terjadi return dan volatilitas yang signifikan, dimana terdapat pengaruh dari efek bulan baru di pasar negara berkembang, seperti India dibanding periode bulan purnama.…”

Financial analysis method based on astrology, Fibonacci, and Astronacci to find a date of direction inversion: JCI and future gold prices (empirical study of the JCI-IDX and gold prices, period of 2008-2017)

“…Testing in determining the effect of Astrology aspects on stocks was investigated by Dichev and Janes (2001), Yuan et al (2006), Floros and Tan (2013) and Shah (2012, 2013). Dichev and Janes (2001) use the moon phase as an Astrology factor.…”

“…Yuan et al (2006) used the TGARCH model in looking for the relationship between efficient market theory, related calendar effects, and investor mood based on moon phases. Floros and Tan (2013) regressed the daily profit of shares based on the moon phase. Meanwhile, Chaudhri and Shah (2012) examined the effect of the conjunction between the sun as a planet and the zodiac sign on the increase or decrease in the price of the Bse Senseive Index (Bse Sensex).…”