The Empirical Research of Lunar Cycles Effect on TAIEX Returns and Volatility

• Main Authors: Wei-Ling Chen, 陳韋伶
• Other Authors: Chin-Tsai Lin
• Language: zh-TW
• Published: 2009
• Online Access: http://ndltd.ncl.edu.tw/handle/83w5m5

碩士 === 元培科技大學 === 企業管理研究所 === 97 === 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 then analyses stock returns and volatility in Taiwan. The sample data contained in this investigation cover the period 1998 to 2008, and this study adopts the asymmetric GARCH model to analyze and ponders the effect of lunar cycle for investor behavior is active or passive on the stock market. Finally, this study demonstrates that lunar cycle effect exists the negative effect on the stock returns and the positive effect on the stock volatility, therefore, lunar cycle effect can affect the mood and thinking of the investors and results from stock market change.