深沪股市指数月运周期效应实证分析

Lunar Cycle Effect on Chinese Stock Market Returns

采用沪、深两市主要指数为样本,在控制其他季节性效应后,发现我国证券市场满月阶段的收益显著高于新月阶段,满月与新月阶段的收益差幅度也较大。这一证据与广泛接受的月运周期影响人类行为的信念是一致的,而且以上结论也难以用完全理性的价格行为来解释。

This paper investigates the role of lunar effect on stock market returns. The experimental research in psychology and causal intuitive indicates that lunar phases regulate people＇s mood. We provide the proof that the stock market returns vary with the lunar cycles. The samples of Shenzhen and Shanghai market returns, after controlling other well-known market seasonal effects, indicate these market returns show a relatively significant and substantial lunar cycle effect. The economic magnitude of the lunar cycle effect is large and these findings are difficult to reconcile with fully rational price setting.