Moon Phases, Mood and Stock Market Returns: International Evidence

Yong Tan, Christos Floros

Research output: Contribution to journalArticlepeer-review

9 Citations (Scopus)


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 threshold generalised autoregressive conditional heteroscedasticity (TGARCH) model, we further examine the linkages between efficient-market theory, calendar-related effects and investors' mood resulting from moon phases. The empirical results show significant full moon effects in six markets, and significant new moon effects in eight markets. In line with the theory, we report significant positive effect of new moon on stock market returns in five 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.JEL Classification: G02, G14, G15.

Original languageEnglish
Pages (from-to)107-127
Number of pages21
JournalJournal of Emerging Market Finance
Issue number1
Publication statusPublished - Mar 2013
Externally publishedYes


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