Computing and Library Services - delivering an inspiring information environment

Moon Phases, Mood and Stock Market Returns: International Evidence

Floros, Christos and Tan, Aaron Yong (2013) Moon Phases, Mood and Stock Market Returns: International Evidence. Journal of Emerging Market Finance, 12 (1). pp. 107-127. ISSN 0972-6527

[img] PDF - Accepted Version
Download (133kB)
[img] Microsoft Word - Published Version
Restricted to Repository staff only

Download (277kB)


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 TGARCH model, we further examine the linkages between efficient-market theory, calendar-related effects and investors' mood resulted from moon phases. The empirical results show significant full moon effects in 6 markets, and significant new moon effects in 8 markets. In line with the theory, we report significant positive effect of new moon on stock market returns in 5 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.

Item Type: Article
Subjects: H Social Sciences > HG Finance
Schools: Huddersfield Business School
Huddersfield Business School > Quantitative Analysis Research Group
Related URLs:
Depositing User: Yong (Aaron) Tan
Date Deposited: 18 Apr 2013 10:30
Last Modified: 28 Aug 2021 20:03


Downloads per month over past year

Repository Staff Only: item control page

View Item View Item

University of Huddersfield, Queensgate, Huddersfield, HD1 3DH Copyright and Disclaimer All rights reserved ©