Does lunar cycle effect exist? Lunar phases and stock return volatilities

文化大學機構典藏 CCUR > 商學院 > 財務金融學系 > 期刊論文 > Item 987654321/20868

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题名:	Does lunar cycle effect exist? Lunar phases and stock return volatilities
作者:	Wang, YH (Wang, Yi-Hsien) Lin, CT (Lin, Chin-Tsai) Chen, WL (Chen, Wei-Ling)
贡献者:	財金系
关键词:	CONDITIONAL HETEROSCEDASTICITY EMPIRICAL-EVIDENCE MARKET RETURNS WEATHER MOOD TAIWAN HETEROSKEDASTICITY SKEWNESS SUNSHINE TESTS
日期:	2010-12
上传时间:	2011-12-08 14:42:16 (UTC+8)
摘要:	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.
显示于类别:	[財務金融學系 ] 期刊論文

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