2009 International Conference on Business Intelligence and Financial Engineering (2009)
July 24, 2009 to July 26, 2009
DOI Bookmark: http://doi.ieeecomputersociety.org/10.1109/BIFE.2009.159
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.
lunar effect, investor's sentiment, behavioral finance, cultural differences
Q. Gao, "Lunar Phases Effect in Chinese Stock Returns," 2009 International Conference on Business Intelligence and Financial Engineering(BIFE), Beijing, China, 2009, pp. 682-685.