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Are investors moonstruck? Further international evidence on lunar phases and stock returns

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  • Keef, Stephen P.
  • Khaled, Mohammed S.

Abstract

This study uses an alternative model specification to re-examine the influences of the new moon and the full moon on the daily returns of 62 international stock indices for the period 1988 to 2008. The fixed effects panel model incorporates the prior day effect and two calendar anomalies, i.e., the Monday effect and the turn-of-the-month effect, to assess variations in the lunar influences. A covariate, based on per capita gross domestic product (GDP), examines how the results vary between countries. The prior day effect is greater for less developed countries. The overall enhanced new moon effect is independent of GDP. An overall full moon effect is absent. These lunar effects are weakly influenced by the calendar anomalies.

Suggested Citation

  • Keef, Stephen P. & Khaled, Mohammed S., 2011. "Are investors moonstruck? Further international evidence on lunar phases and stock returns," Journal of Empirical Finance, Elsevier, vol. 18(1), pages 56-63, January.
  • Handle: RePEc:eee:empfin:v:18:y:2011:i:1:p:56-63
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    References listed on IDEAS

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    1. Robert E. Hall & Charles I. Jones, 1999. "Why do Some Countries Produce So Much More Output Per Worker than Others?," The Quarterly Journal of Economics, Oxford University Press, vol. 114(1), pages 83-116.
    2. Yuan, Kathy & Zheng, Lu & Zhu, Qiaoqiao, 2006. "Are investors moonstruck? Lunar phases and stock returns," Journal of Empirical Finance, Elsevier, vol. 13(1), pages 1-23, January.
    3. Ariel, Robert A., 1987. "A monthly effect in stock returns," Journal of Financial Economics, Elsevier, vol. 18(1), pages 161-174, March.
    4. Keef, Stephen P. & Khaled, Mohammed & Zhu, Hui, 2009. "The dynamics of the Monday effect in international stock indices," International Review of Financial Analysis, Elsevier, vol. 18(3), pages 125-133, June.
    5. Tong, Wilson, 2000. "International Evidence on Weekend Anomalies," Journal of Financial Research, Southern Finance Association;Southwestern Finance Association, vol. 23(4), pages 495-522, Winter.
    6. David Hirshleifer, 2001. "Investor Psychology and Asset Pricing," Journal of Finance, American Finance Association, vol. 56(4), pages 1533-1597, August.
    7. Dowling, Michael & Lucey, Brian M., 2005. "Weather, biorhythms, beliefs and stock returns--Some preliminary Irish evidence," International Review of Financial Analysis, Elsevier, vol. 14(3), pages 337-355.
    8. Connolly, Robert A., 1989. "An Examination of the Robustness of the Weekend Effect," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 24(02), pages 133-169, June.
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    Cited by:

    1. Kaplanski, Guy & Levy, Haim, 2012. "Real estate prices: An international study of seasonality's sentiment effect," Journal of Empirical Finance, Elsevier, vol. 19(1), pages 123-146.
    2. Keef, Stephen P. & Khaled, Mohammed S., 2011. "A review of the seasonal affective disorder hypothesis," Journal of Behavioral and Experimental Economics (formerly The Journal of Socio-Economics), Elsevier, vol. 40(6), pages 959-967.
    3. Kim, Jae H. & Ji, Philip Inyeob, 2015. "Significance testing in empirical finance: A critical review and assessment," Journal of Empirical Finance, Elsevier, vol. 34(C), pages 1-14.
    4. Reschenhofer, Erhard & Lingler, Michaela, 2013. "Detecting synchronous cycles in financial time series of unequal length," Journal of Empirical Finance, Elsevier, vol. 24(C), pages 1-9.
    5. repec:eee:finana:v:52:y:2017:i:c:p:94-103 is not listed on IDEAS
    6. Kaustia, Markku & Rantapuska, Elias, 2013. "Does mood affect trading behavior?," SAFE Working Paper Series 4, Research Center SAFE - Sustainable Architecture for Finance in Europe, Goethe University Frankfurt.
    7. Kim, Jae H., 2017. "Stock returns and investors' mood: Good day sunshine or spurious correlation?," International Review of Financial Analysis, Elsevier, vol. 52(C), pages 94-103.

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