Welcome to Scribd, the world's digital library. Read, publish, and share books and documents. See more
Download
Standard view
Full view
of .
Save to My Library
Look up keyword
Like this
13Activity
0 of .
Results for:
No results containing your search query
P. 1
The U.S. Stock Market Correlated With the Phases of the Moon

The U.S. Stock Market Correlated With the Phases of the Moon

Ratings: (0)|Views: 4,092 |Likes:
Published by Marco
Statistically significant correlation exists between the U.S. financial markets and certain lunar phases. Regressions were performed on data from 1988-2008 for five U.S. stock market indices and the ten year Treasury bond, juxtaposed to the phases of the moon.
Statistically significant correlation exists between the U.S. financial markets and certain lunar phases. Regressions were performed on data from 1988-2008 for five U.S. stock market indices and the ten year Treasury bond, juxtaposed to the phases of the moon.

More info:

Published by: Marco on Jul 21, 2009
Copyright:Attribution Non-commercial

Availability:

Read on Scribd mobile: iPhone, iPad and Android.
download as PDF, TXT or read online from Scribd
See more
See less

05/11/2014

pdf

text

original

 
The U.S. Financial Marketsare Correlated with SpecificMoon Phases
Accurate or Complete “Lunacy”?
Marco HickeyApril 2009
Statistically significant correlation exists between the U.S. financial markets and certain lunar  phases. Regressions were performed on data from 1988-2008 for five U.S. stock market indicesand the ten year Treasury bond, juxtaposed to the phases of the moon.
 
Since ancient times entire civilizations have associated the lunar phases with specifichuman behaviors. Extensive research has been conducted over the years to see if there are anysignificant changes in human behavior during specific lunar phases. As written by Paracelsus inthe 16
th
century “mania has the following
 
symptoms: frantic behaviour, unreasonableness,constant restlessness
 
and mischievousness. Some patients suffer from it depending
 
on the phasesof the moon” (1). More recently Lieber and Sherin reported homicides over 15 years in from1956-1970 given the lunar phase, and found it to be statistically significant peaking at times of afull moon and a secondary peak at periods just after the new moon phase (2). If the lunar phasesdo affect human behavior, can it be said that they also affect the United States financial markets?If investors do react based on the lunar phases, it would be a complete violation of the EfficientMarket Hypothesis, which states that all financial instruments reflect perfect information when being bought and sold.This study has been performed based on a psychological hypothesis. A similar study wasconducted in 1985 by Ivan Kelly and James Rotton, investigating a relationship between themoon phases the Dow Jones Industrial Average, but nothing was proved to be significant. Thegoal of this research is aimed at finding any significant correlation between the U.S. financialmarkets, using data from five major indices and the ten year bond, and the moon phases, usingdata from four lunar phases.Data from the United States Naval Observatory website was obtained. The data includesinformation on four moon phases which are: new moon, first quarter, full moon, and last quarter.This data also included information on total lunar eclipses, and total solar eclipses. Data wasobtained for 21 years from years 1988-2008. Data from Merrill Lynch was also obtained. Thedata includes information for the 10 year Treasury bond note, and five major U.S. stock indiceswhich are: Dow Jones Industrial Average, NASDAQ, New York Stock Exchange, Russell 2000,and S&P 500, for the same 21 year period. The data was organized in a spreadsheet for eachindex. In the first column was the date, in the next column was the index closing pricecorresponding to each date, and in the next six columns were: new moon, first quarter, full moon,last quarter, total solar eclipse, and total lunar eclipse, respectively. The moon data was filled inthe spreadsheet where a one indicated an occurrence for each specific lunar event, and a zeroindicated no occurrence, corresponding to each date. Similar research papers include a timewindow, where as many as 2-7 days before and after the moon phase occurrence are marked. Note that research conducted for this study only included the date of the lunar occurrence.Four dummy variables were created for the regression, to indicate an occurrence of aspecific lunar event. The dummy variables are:
1
,
2
,
3
, and
4
. The econometric model usedfor the regression was
y y
ε β β β β β β 
+++++++=
144332121110
 
where
 y
= index closing price,
1
= 1 if new moon event, = 0 otherwise,
2
= 1 if full moon event, 0 otherwise,
3
= 1 if totalsolar eclipse event, = 0 otherwise,
4
= 1 if total lunar eclipse event, = 0 otherwise, and
1
 y
=index closing price in the previous period.Six regressions from Stata were performed; five of which were U.S. financial indices, andone for the 10 year Treasury bond note. For the S&P 500 index there was a significant
Original Research by Marco HickeyOptionMaestro.com
 
relationship between the close price and the occurrence of a new moon phase. The table below isthe Stata regression.As one can see the only significant statistic besides the previous day’s index closing price(lag close) is d1 which is the occurrence of a new moon. This regression suggests that The S&P500 index is higher by 6.41 points on average, with the occurrence of a new moon relative to anormal day.For the Dow Jones Industrial Average index the findings were similar. Again the Stataregression is below.The data from the Dow Jones Industrial Average demonstrates the only significantstatistic besides the previous day’s close is dummy variable 1 again. The regression suggests thatthe Dow Jones Industrial Average index is higher by 56.18 points on average, with theoccurrence of a new moon relative to a normal day.For the NASDAQ index again the findings were similar as seen in the table below.
Original Research by Marco HickeyOptionMaestro.com

Activity (13)

You've already reviewed this. Edit your review.
1 hundred reads
1 thousand reads
Glenn Hackter liked this
Lars Larson liked this
pgeronazzo8450 liked this
Ganeshkumar liked this

You're Reading a Free Preview

Download
/*********** DO NOT ALTER ANYTHING BELOW THIS LINE ! ************/ var s_code=s.t();if(s_code)document.write(s_code)//-->