| Summary: | 碩士 === 國立中央大學 === 產業經濟研究所 === 96 === Since ancient times, the lunar cycles have been closely related to human behavior. In Taiwan, because Taiwanese are accustomed to use the lunar calendar, so there is a certain impact on people in Taiwan with the lunar cycles. The modern science is still unable to confirm how the moon impact on human, although there are many indirect ways illustrate that the effect of the lunar effect really occurred.
Accompanied with the development of Behavioral Finance, the relationship between the moon and the human behavior are gradually extended to discuss about the lunar cycles and the stock return. This study attempted to use traditional financial assets pricing model, which control the company characteristics variables introduced by Fama and French (1992). And this study controlled some time variables (Monday, Weekend and Month) to avoid misinterpreting the effect of lunar cycle.
In order to include more information of samples, this study use panel data methods. By discussing Taiwan listed companies’ stock return, this study tests the relationship between the lunar cycles and the abnormal stock returns resulted from irrational investment decision-making.
The daily return data of this study was obtained from Taiwan Economic Journal’s (TEJ) database. This study finds that in full moon and new moon periods, there are some special effects on Taiwan security market. During January 1995 to December 2007, this study finds that when observed period is closer to full moon days the negative effects on stock returns is more significant. But the effects on returns in the new moon period are weaker than full moon period. And the effect is rapidly changed to positive return effect with the extension of new moon sample interval. Also, the moon has different effects across different industries. In the extension research of this study, lunar effects are significantly in company with large market value.
Although we are unable to comfirm the direct effects of moon on stock return, the statistics results here are available to proof the effect of lunar cycles on stock returns. Under this basis, this study try to infer what kind of indirect effects of lunar cycle in Taiwan will affect stock returns.
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