COMPARATIVE STUDY OF LUNAR PHASES ON STOCK RETURNS BETWEEN TAIWAN AND THE U.S.

This paper investigates whether the lunar phases influence stock returns in both the Taiwan and U.S. stock markets and further compares if there is a difference in the impact of the lunar phases on stock returns between both markets. Using the daily returns of Taiwan Weighted Stock Index and four major U.S. market indices (DJIA, S&P 500, NYSE, and NASDAQ), we find that the mean returns are higher on the days around new moon than those on the days around full moon in both markets, but this observation is not statistically significant at conventional levels. Moreover, we find that there are more negative returns as the trading days are more close to full moon days in the Taiwan stock market, while we find the results to the contrary in the U.S. stock markets. Based on the results of the regression analysis, we find a positive effect of new moon on U.S. stock returns at the interval of the 5 days before and after new moon day. However, we still find no evidence that the Taiwan stock returns are affected by the lunar phases. [ABSTRACT FROM AUTHOR]