Sentiment measurement is the core of attention in some researches in behavioral finance. Based on psychological and biological evidences, moon cycles affect human mood, behaviors, and then their judgment and decision making. Many researchers in the field of behavioral finance tend to investigate if there is a relationship between lunar phases and stock market returns.
The main objection of this paper is to test lunar effect on Tehran Stock Exchange (TSE) market return. In this research, we use linear regression (OLS) and comparison of average return in new moon and full moon cycles. We have come out with the conclusion that lunar does not affect daily TSE market return.
For acquiring further evidence, daily average market return in periods of 5, 7 and 15 days around the full and the new moon are compared. But, no significant difference is approved.
Saeedi,A and Mashayekhi,M . (2012). Lunar Phases and Stock Market Returns (Evidence from the Tehran Stock Exchange). Quarterly Journal of Securities Exchange, 4(14), 81-98.
MLA
Saeedi,A , and Mashayekhi,M . "Lunar Phases and Stock Market Returns (Evidence from the Tehran Stock Exchange)", Quarterly Journal of Securities Exchange, 4, 14, 2012, 81-98.
HARVARD
Saeedi A, Mashayekhi M. (2012). 'Lunar Phases and Stock Market Returns (Evidence from the Tehran Stock Exchange)', Quarterly Journal of Securities Exchange, 4(14), pp. 81-98.
CHICAGO
A Saeedi and M Mashayekhi, "Lunar Phases and Stock Market Returns (Evidence from the Tehran Stock Exchange)," Quarterly Journal of Securities Exchange, 4 14 (2012): 81-98,
VANCOUVER
Saeedi A, Mashayekhi M. Lunar Phases and Stock Market Returns (Evidence from the Tehran Stock Exchange). Quarterly Journal of Securities Exchange. 2012;4(14):81-98 (In Persian).
