Lunacy in the Stock Market—What is the Evidence?

Popular culture and folklore have long recognized the influence of the lunar cycle on plant, animal, and human behavior. Many of the effects have been validated in the physical and biological sciences. However, until recently such effects have been largely, if not completely ignored in the academic literature of financial economics. This study aims to contribute to answering whether there is, as some claim, a lunar influence on stock prices or volatility. The findings of this work support the Efficient Markets Hypothesis—no consistent, predictable lunar influence is found on either daily returns or daily price volatility in the Dow Jones Industrial Average, for either new or full moons. Some effects are found, but not consistent or predictable with lunar and calendar information alone.