Are investors moonstruck? Lunar phases and stock returns |
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| Institution: | 1. University of Passau, School of Business, Economics and Information Systems, Innstraße 27, 94030 Passau, Germany;2. University College Dublin, UCD Michael Smurfit Graduate Business School, Carysfort Avenue, Blackrock, Co Dublin, Ireland;1. Department of Business Administration, Ono Academic College, Kiriat Ono, Israel;2. Department of Business Administration, Faculty of Management, University of Haifa, Haifa, Israel;1. Ozyegin University, Faculty of Economics and Administrative Sciences (FEAS), 229/AB-2, Orman Street No: 34-36, Nisantepe District–Alemdag Place, Cekmekoy 34794, Istanbul, Turkey |
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| Abstract: | This paper investigates the relation between lunar phases and stock market returns of 48 countries. The findings indicate that stock returns are lower on the days around a full moon than on the days around a new moon. The magnitude of the return difference is 3% to 5% per annum based on analyses of two global portfolios: one equal-weighted and the other value-weighted. The return difference is not due to changes in stock market volatility or trading volumes. The data show that the lunar effect is not explained away by announcements of macroeconomic indicators, nor is it driven by major global shocks. Moreover, the lunar effect is independent of other calendar-related anomalies such as the January effect, the day-of-week effect, the calendar month effect, and the holiday effect (including lunar holidays). |
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