Lunar Cycle Affects Stock Market Returns (updated)

by Erin McCune on December 31, 2006

in Caught My Eye, Research Round Up

UPDATED 12/31/06:
This research was recently featured at


The Harvard Business Review cites unusual – but "rigorous" – research demonstrating that the lunar cycle affects stock market returns.

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.

Market Lunacy
by Lisa Burrell
Harvard Business Review
November 2006
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
August 2001

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