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Are Investors Moonstruck? - Lunar Phases and Stock Returns

44 Pages Posted: 18 Sep 2001  

Lu Zheng

University of California, Irvine - Paul Merage School of Business

Kathy Yuan

London School of Economics & Political Science (LSE) - Department of Finance

Qiaoqiao Zhu

Australian National University (ANU) - College of Business and Economics; Financial Research Network (FIRN)

Date Written: September 5, 2001

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).

Keywords: Behavioral Finance, Mood, Lunar Effect, Stock Return, Market Efficiency

Suggested Citation

Zheng, Lu and Yuan, Kathy and Zhu, Qiaoqiao, Are Investors Moonstruck? - Lunar Phases and Stock Returns (September 5, 2001). Available at SSRN: https://ssrn.com/abstract=283156 or http://dx.doi.org/10.2139/ssrn.283156

Lu Zheng

University of California, Irvine - Paul Merage School of Business ( email )

Irvine, CA California 92697-3125
United States
9498248365 (Phone)

Kathy Zhichao Yuan (Contact Author)

London School of Economics & Political Science (LSE) - Department of Finance ( email )

Old Building
Houghton Street
London, London WC2A 2AE
United Kingdom
+44 (0)20 7955 6407 (Phone)
+44 (0)20 7849 4647 (Fax)

HOME PAGE: http://fmg.lse.ac.uk/~kathy

Qiaoqiao Zhu

Australian National University (ANU) - College of Business and Economics ( email )

Canberra, Australian Capital Territory 2601
Australia

Financial Research Network (FIRN)

C/- University of Queensland Business School
St Lucia, 4071 Brisbane
Queensland
Australia

HOME PAGE: http://www.firn.org.au

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