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Spooky Moon Stuff

Posted by Rogerdodger, May 28 2009, 12:55 PM

Spooky Moon Stuff:

QUOTE
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. In contrast, we find no reliable or economically important evidence of lunar cycle effects in return volatility and volume of trading. Taken as a whole, this evidence is consistent with popular beliefs that lunar cycles affect human behavior.

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Comments

  dougie, Sep 7 2009, 05:47 PM

did you plot it against gold RD?

 
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