This research was recently featured at CFO.com
Professors at the University of Michigan Ann Arbor and SUNY Buffalo studied US stock indices over 100 years and international markets in 25 countries over 30 years and found that in the 15 days surrounding the full moon stock market returns are half the returns during the 15 days surrounding a new moon.
Abstract of the original research paper, published August 2001:
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.
by Lisa Burrell
Harvard Business Review
Reprint # F0611C
Lunar Cycle Effects in Stock Returns
ILIA D. DICHEV, University of Michigan at Ann Arbor – Stephen M. Ross School of Business
TROY D. JANES, SUNY at Buffalo