Moon Phases, Mood and Stock Market Returns

International Evidence

Yong Tan, Christos Floros

Research output: Contribution to journalArticle

4 Citations (Scopus)

Abstract

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
Volume12
Issue number1
DOIs
Publication statusPublished - Mar 2013
Externally publishedYes

Fingerprint

Mood
Stock market returns
January effect
Bangladesh
Chile
Cyprus
Investors
Generalized autoregressive conditional heteroscedasticity
Brazil
Jordan
Empirical results
Switzerland
Efficient markets
Stock market
Calendar
Emerging markets
Calendar anomalies
Analysts
JEL classification
Managers

Cite this

@article{2674fd862e434857a7ec40c5086752c5,
title = "Moon Phases, Mood and Stock Market Returns: International Evidence",
abstract = "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.",
keywords = "Emerging and Mature Markets, Mood, Moon, Stock Returns, TGARCH",
author = "Yong Tan and Christos Floros",
year = "2013",
month = "3",
doi = "10.1177/0972652712473405",
language = "English",
volume = "12",
pages = "107--127",
journal = "Journal of Emerging Market Finance",
issn = "0972-6527",
publisher = "Sage Publications India Pvt. Ltd",
number = "1",

}

Moon Phases, Mood and Stock Market Returns : International Evidence. / Tan, Yong; Floros, Christos.

In: Journal of Emerging Market Finance, Vol. 12, No. 1, 03.2013, p. 107-127.

Research output: Contribution to journalArticle

TY - JOUR

T1 - Moon Phases, Mood and Stock Market Returns

T2 - International Evidence

AU - Tan, Yong

AU - Floros, Christos

PY - 2013/3

Y1 - 2013/3

N2 - 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.

AB - 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.

KW - Emerging and Mature Markets

KW - Mood

KW - Moon

KW - Stock Returns

KW - TGARCH

UR - http://www.scopus.com/inward/record.url?scp=84875309366&partnerID=8YFLogxK

U2 - 10.1177/0972652712473405

DO - 10.1177/0972652712473405

M3 - Article

VL - 12

SP - 107

EP - 127

JO - Journal of Emerging Market Finance

JF - Journal of Emerging Market Finance

SN - 0972-6527

IS - 1

ER -