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.
