We find strong lunar cycle effects in stock returns. Specifically, returns in the 15 days around new moon dates are about double the returns in the 15 days around full moon dates. This pattern of returns is pervasive; we find it for all major U.S. stock indexes over the last 100 years and for nearly all major stock indexes of 24 other countries over the last 30 years. In contrast, we find no reliable or economically important evidence of lunar cycle effects in return volatility and volume of trading. Taken as a whole, this evidence is consistent with popular beliefs that lunar cycles affect human behavior.You can see the abstract and download the paper here: Lunar Cycle Effects in Stock Returns, on the Social Science Research Network.
Saturday, February 03, 2007
New Moon and the Stock Market
I've been quite busy recently, and am getting a backlog of post material. Here's on oldie I never got around to blogging, which is weird and short: there is evidence that the lunar phase affects stock market performance.