ISSN 2167-0439
International Journal of Management and Business Studies ISSN 2167-0439 Vol. 8 (4), pp. 001-006, April, 2018. © International Scholars Journals
Full Length Research Paper
Does lunar cycle effect exist? Lunar phases and stock return volatilities
Yi-Hsien Wang1*, Chin-Tsai Lin2 and Wei-Ling Chen3
1Department of Banking and Finance, Chinese Culture University, Taipei, Taiwan.
2Department of Business and Administration, Ming Chuan University, Taipei Taiwan.
3Department of Business and Administration, Yuanpei University, St. HsinChu, Taiwan.
Accepted 11 January, 2018
Abstract
The idea that lunar cycles may influence human behavior dates back at least to ancient Greece and Rome. Even in modern societies, with their emphasis on science and technology, the legend of moon affecting human behavior is a steadily growing trend. This study thus adopts a behavioral finance perspective to examine the relationship between lunar cycle and investor behavior, and specifically analyzes stock market behavior in Taiwan. The sample data employed in this investigation cover the period of 1998 to 2008, and this study adopts the asymmetric General Autoregressive Conditional Heteroscedosticity (GARCH) model for the analysis and considers the effect of lunar cycle for investor behavior is active or passive on the stock market. Finally, the empirical evidence presented in this study demonstrates how lunar cycle showed the significant and negative influence on stock returns, and stock volatility demonstrates statistically significant and positive influence. The results imply that the moon affects individual mood and thinking, and lead to stock market change.
Key words: Lunar cycle, investor behavior, General Autoregressive Conditional Heteroscedosticity model.