MOON SUN FINANCE ACADEMIC REFERENCES
Moon Sun Finance
References In Technical Analysis & Astrology
This page gives a listing of academic papers published on Moon Sun
To date, virtually all academic papers have only assessed lunar phase in relation to
stock market activity and the three other
'months' have yet to be considered.
Hopefully this will be achieved at some stage.
Tropical Month - the Moon's position on the ecliptical circle.
Nodical Month - one cycle of the Moon from the north node to the north node.
Apogee Month - one cycle of the Moon from apogee to apogee.
Numerous additional Moon Sun factors also remain to be tested.
Lunar Cycles and the
Stock Market: Time-Series Analysis for Environmental Psychologists
ROTTON, J. & KELLY, I. W.
Unpublished manuscript. Florida International University, 1948.
56 Year Cycles & Financial Crises
Conference of Economists. The Economics Society of Australia.
Monash University, Melbourne. Aug 25-29, 1986.
Abstract: "Since 1760, most major financial crises in the US
and Europe have occurred in 56 year sequences, which in turn are
interconnected by sub-cycles of factors of 9 and 13 years. These
sub-cycles have a set period in which they are operative, although the
56 year sequences may be regarded as continuous. This approach conflicts
with established cyclical theories, which view economic activity as
occurring in progressive waves of expansion and contraction ad
infinitum. The 56 year cycles refine the well known Kondratieff wave
theory and can assist in predicting the major turning points in US and
European business activity."
Cycles in Stock Prices
Vijay M JOG & Allan L. RIDING
Financial Analyst Journal. Mar/Apr 1989. Vol 45. No2. pp 63 - 68.
Cycles & The Stock Market: Application of a Dynamic (Box-Jenkins)
ROTTON, J. & ROSENBERG, M.
Unpublished manuscript. Florida International University. Miami.
Case of "Data Snooping" for Classroom Discussion
CRACK, Timothy Falcon.
Journal of Financial Education, Fall 1999. Vol. 25. pages 92-97.
Abstract: "Data snooping (mistaking spurious statistical
relationships for genuine ones) is an important and dangerous by-product
of financial analysis. However, data snooping is a difficult concept to
explain to students of financial economics because, by its very nature,
it is difficult to illustrate by example (a strong statistical
relationship between complex financial variables is difficult to
refute). To overcome this pedagogical difficulty, I present an example
of data snooping where one variable is non-financial: I show that near
both new moon and full moon, stock market volatility is higher and stock
market returns are lower than away from the new or full moon. The simple
and off-beat nature of this example enables substantial classroom
Cycle Effects in Stock Returns
Ilia D. DICHEV & Troy D. JANES.
The Journal of Private
Equity, Fall 2003.
Abstract: "We find strong lunar cycle effects in stock
returns. Specifically, returns in the 15 days around new moon dates are
about double the returns in the 15 days around full moon dates. This
pattern of returns is pervasive; we find it for all major U.S. stock
indexes over the last 100 years and for nearly all major stock indexes
of 24 other countries over the last 30 years. Taken as a whole, this
evidence is consistent with popular beliefs that lunar cycles affect
Investors Moonstruck? Lunar Phases and Stock Returns
Kathy YUAN, Lu ZHENG and Qiaoqiao ZHU.
Journal of Empirical
Finance, Volume 13, Issue 1, January 2006, Pages 1-23.
Abstract: "This paper investigates the relation between
lunar phases and stock market returns of 48 countries. The findings
indicate that stock returns are lower on the days around a full moon
than on the days around a new moon. The magnitude of the return
difference is 3% to 5% per annum based on analyses of two global
portfolios: one equal-weighted and the other value-weighted. The return
difference is not due to changes in stock market volatility or trading
volumes. The data show that the lunar effect is not explained away by
announcements of macroeconomic indicators, nor is it driven by major
global shocks. Moreover, the lunar effect is independent of other
calendar-related anomalies such as the January effect, the day-of-week
effect, the calendar month effect, and the holiday effect (including
Harvard Business Review. Nov 2006.
"The belief that lunar cycles affect how we think and act is
widespread and old as the hills, yet, understandably, scholars have
struggled to find evidence to support it. That’s not necessarily
because the belief isn’t valid, suggest Ilia D. Dichev of the
University of Michigan and Troy D. Janes of SUNY Buffalo; the problem
could be that many studies examine extreme behavior and thus work with
small samples. So for their own research, Dichev and Janes turned to
stock markets, where hundreds of millions of people make countless
decisions daily. After all, they point out, if a full moon brings on
depression and pessimism, as legend has it, mightn’t it trigger a
gloomy outlook about future cash flows, leading to risk-averse investing
and causing stock prices—and returns on investments—to tank?"
their comprehensive review of 25 stock exchanges over the past 30 years
does show a strong correlation between lunar cycles and stock prices.
The chart below illustrates findings
for the G-7 nations, where, in every case, the annualized mean daily
returns are higher around the new moon than around the full moon. The
same pattern holds for all the exchanges examined in the larger study
except Oslo’s, where the difference is essentially zero."
these findings are, admittedly, a bit off the beaten path, they’re the
product of rigorous research. So even though we might not be ready just
yet to consult lunar cycles for guidance on all our stock trades and
other major decisions, we should keep in mind that unexpected sources
can beget robust data and analysis, and that correlation and causality
must always be carefully examined."
Full or New Moon Influence Stock Market? A Methodological Approach
P. R. CHANDY, P. HAENSLY & S. SHETFY.
of Financial Management & Analysis, January 2007.
"Although there have been many studies dealing with
psychological aspects of investor behaviour and scholarly research being
pursued to support the day-of-the-week effect, January effect,
small-firm effect, etc., and to explain these effects with vigorous
economic theory and statistical models, there is scant attention paid to
analyzing the effects of lunar cycles (full moon or new moon) on the
stock market. The authors have gathered evidence from the literature on
psychology which indicates the possibility of the existence of abnormal
human behaviour during such periods of lunar cycles and have
statistically analyzed the full moon effect separately from the new moon
effect on the stock market and have come out with the conclusion that
the stock market indices examined showed no evidence of a full moon or a
new moon effect. However, there is scope for further research in this
most important yet little explored subject."
In The Stock Market - What is the evidence?
Journal of Bioeconomics. 2007. Vol 9. Issue 1, pages 1 -
Abstract: "Popular culture and folklore have long recognized the
influence of the lunar cycle on plant, animal, and human behavior. Many
of the effects have been validated in the physical and biological
sciences. However, until recently such effects have been largely, if not
completely ignored in the academic literature of financial economics.
This study aims to contribute to answering whether there is, as some
claim, a lunar influence on stock prices or volatility. The findings of
this work support the Efficient Markets Hypothesis—no consistent,
predictable lunar influence is found on either daily returns or daily
price volatility in the Dow Jones Industrial Average, for either new or
full moons. Some effects are found, but not consistent or predictable
with lunar and calendar information alone."
Sentiment & The Lunar Moon Festival Effect
Jerry COAKLEY, Jing-Ming KWO & Andrew WOOD.
School of Accounting, Finance & Management and Essex Finance Centre.
University of Essex. Jan 2008.
Seasonality in Precious Metal Returns
Brian M. LUCEY.
Trinity College, University of Dublin. Working paper. Sep 18, 2008.
Abstract: "We demonstrate for the first time
the existence of a lunar cycle on precious metal returns. This appears
to be more pronounced in silver than gold, with very little evidence for
an effect in platinum."
Investing Notes - The Lunar Cycle & Stock Returns
cxoadvisory.com November 6, 2008
Phases Effect in Chinese Stock Returns
International Conference on Business Intelligence
and Financial Engineering. 2009
Abstract: "This paper investigates the relation
between lunar phases and stock market returns of China. The
findings indicate that stock returns are lower on the days
around a new moon than on the days around a full moon. This
pattern of returns is pervasive; we find it for two major
Chinese stock indexes over the last 16 years. The author
concludes that lunar phases do affect stock returns in China,
and the culture is one of the factors which affect investor’s
sentiment and behavior and then affect stock returns."
Krishna Paksha (new moon phase) and Shukla Paksha (full moon
the Indian stock market? – A study of lunar cycles in the
Bombay Stock Exchange
N SIVAKUMAR & S SATHYYANARAYANAN.
International Journal of
Indian Culture & Business Management.
2009. Vol 3. pp 281-294.
Abstract: "Indian culture has popularly believed that the
moon has a close relation with human thinking and decision
making. The impact of the moon on human behaviour has been an
important aspect of research study. As stock market activity and
movements are based on human behaviour and decision making, it
is desirable to study its impact on stock market activity and
movements. Indian culture describes lunar cycles as Shukla
Paksha (the bright lunar cycle) and Krishna Paksha (the dark
lunar cycle). This article studies the impact of lunar cycles on
the Bombay Stock Exchange (BSE). The study uses the BSE Sensex
data over a period of 17 years to study whether there are
significant differences in the stock market activity and
movements in the Shukla Paksha and Krishna Paksha. Based on the
analysis, the article finds that the impact of lunar cycles on
Indian stock markets is quite limited. After an introduction to
lunar cycles, the article provides a literature review on the
current research on lunar cycles and their impact on stock
markets. The article then studies the impact of lunar cycles in
relation to the BSE Sensex. The article provides inferences
based on study and the implications of the study."
Bayesian Analysis of Lunar Effects on Stock Returns
Shih Hsin University - Department of Finance. March 22, 2009.
Abstract: "Biological, psychological and
medical evidence widely suggests that the lunar phases may
affect human behavior and mood. This suggestion motivates this
study of the relationship between lunar phases and stock
returns. Relevant papers indicate that lunar cycles effects do
have an effect on stock returns. They indicate that the mean
daily stock returns are lower near the full moon and higher near
the new moon days. This paper further investigates the
association between the lunar phases and daily stock returns by
using a two-regime autoregressive model with a GARCH(1,1)
innovation. Rather than only examining the average daily
returns, the discussion will be extended in three directions:
the average daily returns, the correlation between consecutive
daily returns, and the GARCH volatility. The Bayesian approach
will be applied to the daily stock returns of 12 countries,
including the G-7 markets and five emerging markets in Asia. In
general, the statistical results indicate the existence of lunar
effects on daily stock returns, although different patterns are
shown by the G-7 markets and some of the discussed Asian
markets. In particular, the autocorrelation for consecutive
daily returns is significantly different, according to both the
lunar phases and the diverse structures of the various stock
markets. Furthermore, for some of the G-7 markets, the
volatility of the stock returns does change according to
different lunar phases; higher volatility in the full moon
period. In summary, the evidence is consistent, and supports the
popular belief that lunar phases do affect human financial
US Financial Markets Are Correlated With Specific Moon Phases
Marco HICKEY. April 2009.
Omens in the Sky: Do Superstitious Beliefs Affect Investment
LEPORI. July 2, 2009.
Copenhagen Business School. Department of Finance.
research documents that individuals are more likely to resort to
superstitious practices when operating in environments dominated
by uncertainty, high stakes, and perceived lack of control over
the outcomes. Based on these findings, we suggest that the stock
market represents an ideal breeding ground for superstition and
then test whether superstition-induced behavior affects
investment decisions. Our empirical analysis focuses on some
beliefs associated with eclipses, phenomena that are typically
interpreted as bad omens by the superstitious both in Asian and
Western societies, and we employ a dataset containing 362 such
events over the period 1928-2008. Using four broad indices of
the U.S. stock market, we uncover strong evidence in support of
our superstition hypothesis in four distinct ways. First, the
occurrence of negative superstitious events (i.e. eclipses) is
associated with below-average stock returns, which is consistent
with a diminished buying pressure coming from the superstitious.
Second, the size of the superstition effect is estimated to
increase in times of high market uncertainty and when eclipses
draw wide media coverage and public attention. Third, the
negative performance of the market during the superstitious
event is followed by a reversal effect of similar magnitude (10
basis points per day) on the subsequent trading days. Fourth,
eclipses are accompanied by a trading volume decline. When we
extend our analysis to a sample of Asian countries, we find
analogous results. The patterns we document are inconsistent
with the Efficient Market Theory, as eclipses are perfectly
PHYSIOLOGY & MARKET TRADING
The Moon Sun
hypothesis is based on the premise that Moon Sun cycles influence mass
human physiological cycles, which influence the mass mood and thereby drive
financial activity. Thus, references on the impact of hormones on the
human reward system have been presented.
Why Can't A
Woman Bid More Like A Man?
Yan CHEN, Peter KATUSCAK & Emre OZDENOREN.
Working paper. September 3, 2005.
Abstract: “We find robust gender difference in bidding behavior
in sealed bid auctions with independent and private valuations in a
laboratory setting. In particular, we find that women bid significantly
higher and earn significantly less than men do in the first-price
auction, while we find no evidence of a gender difference in the
likelihood of dominant strategy play in the second price auction. At a
biological level, in the first price auction, women during menstruation,
when the estrogen level is lowest, do not bid differently from men. The
gender difference in the first price auction is driven by women during
other phases of the menstrual cycle when they have higher estrogen
Lunar Cycle: Effects On Human
and Animal Behavior and Physiology
Postpy higieny i medycyny doświadczalnej (Online). 01/02/2006;
Abstract: "Human and animal physiology are
subject to seasonal, lunar, and circadian rhythms. Although the seasonal
and circadian rhythms have been fairly well described, little is known
about the effects of the lunar cycle on the behavior and physiology of
humans and animals. The lunar cycle has an impact on human reproduction,
in particular fertility, menstruation, and birth rate. Melatonin levels
appear to correlate with the menstrual cycle. Admittance to hospitals
and emergency units because of various causes (cardiovascular and acute
coronary events, variceal hemorrhage, diarrhea, urinary retention)
correlated with moon phases. In addition, other events associated with
human behavior, such as traffic accidents, crimes, and suicides,
appeared to be influenced by the lunar cycle. However, a number of
reports find no correlation between the lunar cycle and human
reproduction and admittance to clinics and emergency units. Animal
studies revealed that the lunar cycle may affect hormonal changes early
in phylogenesis (insects). In fish the lunar clock influences
reproduction and involves the hypothalamus-pituitary-gonadal axis. In
birds, the daily variations in melatonin and corticosterone disappear
during full-moon days. The lunar cycle also exerts effects on laboratory
rats with regard to taste sensitivity and the ultrastructure of pineal
gland cells. Cyclic variations related to the moon's phases in the
magnitude of the humoral immune response of mice to polivinylpyrrolidone
and sheep erythrocytes were also described. It is suggested that
melatonin and endogenous steroids may mediate the described cyclic
alterations of physiological processes. The release of neurohormones may
be triggered by the electromagnetic radiation and/or the gravitational
pull of the moon. Although the exact mechanism of the moon's influence
on humans and animals awaits further exploration, knowledge of this kind
of biorhythm may be helpful in police surveillance, medical practice,
and investigations involving laboratory animals."
cycle phase modulates reward-related neural function in women.
Jean-Claude DREHER et al.
Proceedings of the National Academy of Sciences. 2007
Abstract. “There is considerable evidence from animal studies
that the mesolimbic and mesocortical dopamine systems are sensitive to
circulating gonadal steroid hormones. Less is known about the influence
of estrogen and progesterone on the human reward system. To investigate
this directly, we used functional MRI and an event-related monetary
reward paradigm to study women with a repeated-measures, counterbalanced
design across the menstrual cycle. Here we show that during the
midfollicular phase (days 4–8 after onset of menses) women
anticipating uncertain rewards activated the orbitofrontal cortex and
amygdala more than during the luteal phase (6–10 days after
luteinizing hormone surge). At the time of reward delivery, women in the
follicular phase activated the midbrain, striatum, and left fronto-polar
cortex more than during the luteal phase. These data demonstrate
augmented reactivity of the reward system in women during the
midfollicular phase when estrogen is unopposed by progesterone.
Moreover, investigation of between-sex differences revealed that men
activated ventral putamen more than women during anticipation of
uncertain rewards, whereas women more strongly activated the anterior
medial prefrontal cortex at the time of reward delivery. Correlation
between brain activity and gonadal steroid levels also revealed that the
amygdalo-hippocampal complex was positively correlated with estradiol
level, regardless of menstrual cycle phase. Together, our findings
provide evidence of neurofunctional modulation of the reward system by
gonadal steroid hormones in humans and establish a neurobiological
foundation for understanding their impact on vulnerability to drug
abuse, neuropsychiatric diseases with differential expression across
males and females, and hormonally mediated mood disorders.”
steroids and financial risk taking on a London trading floor
J M COATES & J HERBERT
Proceedings of the National Academy of Sciences. 2008 Apr 22; 105 (16): 6167-72.
"Little is known about the role of the endocrine system in
financial risk taking. Here, we report the findings of a study in which
we sampled, under real working conditions, endogenous steroids from a
group of male traders in the City of London. We found that a trader's
morning testosterone level predicts his day's profitability. We also
found that a trader's cortisol rises with both the variance of his
trading results and the volatility of the market. Our results suggest
that higher testosterone may contribute to economic return, whereas
cortisol is increased by risk. Our results point to a further
possibility: testosterone and cortisol are known to have cognitive and
behavioral effects, so if the acutely elevated steroids we observed were
to persist or increase as volatility rises, they may shift risk
preferences and even affect a trader's ability to engage in rational
Second-to- fourth digit ratio
predicts success among high frequency financial traders.
John M COATES, Mark GURNELL & Aldo RUSTICHINI
Proceedings of the National Academy of Sciences. 2009 Jan 13; 106: 347-348.
“In this study, we investigate gender differences and menstrual cycle
effects in first-price and second-price sealed-bid auctions with
independent private values in a laboratory setting. We find that women
bid significantly higher and earn significantly less than men do in the
first-price auction, while we find no evidence of a gender difference in
bidding in the second-price auction. At a biological level, we find a
sine-like pattern of bidding in the first-price auction throughout the
menstrual cycle, with higher bidding in the follicular phase and lower
bidding in the luteal phase. Further analysis shows almost all of the
variation is driven by contraceptive pill users.”
SUN'S POSITION ON THE ECLIPTICAL
Papers on the January effect and September swoon have been included,
as the key variable in these phenomena may be the position of the Sun on
the ecliptical circle.
Other January Effect
Michael COOPER, John J McCONNELL & Alexei OVTCHINNIKOV.
Sep 19, 2005. AFA 2006 Boston Meetings Paper.
Abstract: "Streetlore" has touted the market
return in January as a predictor of market returns for the remainder of
the year since at least 1973. We systematically examine the predictive
power of January returns over the period 1940-2003 and find that January
returns have predictive power for market returns over the next 11 months
of the year. The effect persists after controlling for
macroeconomic/business cycle variables that have been shown to predict
stock returns, the Presidential Cycle in returns, and investor sentiment
and persists among both large and small capitalization stocks and among
both value and glamour stocks. Additionally, we find that January has
predictive power for two of the three premiums in the Fama-French (1993)
three-factor model of asset pricing."
Mark HAUG & Mark HIRSCHEY. Nov 2005
Abstract: "This paper uses broad samples of
value-weighted and equally-weighted returns to document the fact that
abnormally high rates of return on small-cap stocks continued to be
observed during the month of January. The January effect in small cap
stock returns is remarkably consistent over time, and does not appear to
have been affected by passage of the Tax Reform Act of 1986. This
finding adds new perspective to the traditional tax-loss selling
hypothesis, and suggests the potential relevance of behavioral
explanations. After a generation of intensive study, the January effect
is alive and well, and continues to present a daunting challenge to the
Efficient Market Hypothesis."
M HAUG & M HIRSCHEY. 2006.
Paper presented at the 2006 Financial Management Association Annual
Meeting. Salt Lake City Utah.
Abstract: "Broad samples of value - weighted and equally -
weighted portfolio returns documents the fact that abnormally negative
rate of returns on both large cap and small cap stocks are common during
the month of September. This "September swoon" in stock
returns is consistent overtime and appears robust. Moreover, the
September swoon cannot be easily explained as the result of diligent
data snooping nor as a simple consequent of the Tax Reform Act of 1986.
From a behavioral perspective, a September swoon is consistent with an
increase in investor risk aversion tied to September's large loss in
daylight, the end of summer and the onset of the "winter
blues". Like the often studied January effect. the September swoon
presents a daunting challenge to the Efficient Market Hypothesis."
ARTICLES IN THE MEDIA
a little moonlight can do.
p 72, Oct 20, 2001.
Blame it on the
New Scientist. Jun 30, 2001.
Finds Lunar Cycles Affect The Performance Of Share Markets Worldwide.
Alison BEARD. The Financial Times. Global Investing. p 25. Jan 10, 2002
The Technical Analyst. p 28, Jul/Aug 2004.
Sun, The Moon & The Market.
Business Week. June 5, 2006.
Strategies: Fly me to the Moon and
let me profit my stocks.
The New York Times. Nov 19, 2006.
Shows Correlation Between Stock Market, Lunar Cycle.
The Atlanta Journal-Constitution. Nov 29, 2006.
made me take female hormones.
Paul THARP & Roddy BOYD. New York Post. Oct 11, 2007.
Traders' raging hormones cause stock market swings.
Jason PALMER. New Scientist. Apr 14, 2008.
may fuel stock-market success, Or make traders tipsy.
Robert Lee HOTZ. online.wsj.com. Apr 18, 2008.
may be hurting stock markets.
John COATES. telegraph.co.uk. Sep 22, 2008.
on Lunar Phase and US Panics.
The Technical Analyst. p 24-25, Oct 2008.
Market Success May Stem From Prenatal Hormone Levels.
Scott P EDWARDS. The DANA Foundation. March 19, 2009.
A Self-Fulfilling Hormonal Prophesy.
Helen THOMAS. ft.com/alphaville. Apr 15, 2009.
Do Moon Cycles Affect The Stock Market?
The Atlantic. June 23, 2009.
incentive, experience make best traders.
Kate KELLAND. reuters.com. Nov 25, 2009.
High Returns? Follow the Moon.
Times Online. Dec 22, 2009.
New Moon for high returns on investments.
Business Standard. Press trust of India. Dec 23, 2009.
around the New Moon are double than Full Moon phase.
India Times. The Economic Times. Dec 23, 2009.
and the lunatic fringe.
The Australian. Business. Dec 23, 2009.