月亮週期對股價報酬的影響－－台灣與美國的差異比較

Comparative Study of Lunar Phases on Stock Returns between Taiwan and the U.S.

本研究採用台灣加權股價指數及美國四大指數日報酬率資料，試圖探討月亮週期是否對股價報酬造成影響，並比較台灣及美國市場是否存在不同現象。實證結果顯示，在平均報酬率差異檢定上，並無證據顯示新月及滿月時股價平均報酬上存在差異；但發現新月期平均報酬率普遍優於滿月期，且台灣及美國市場在滿月時期上存有相反的現象，即台灣市場愈接近滿月時負報酬現象愈明顯。而在多元迴歸分析上，台灣市場仍無證據顯示月亮週期會對股價報酬造成影響，而美國市場在新月五天區間時對股價報酬則存有正向影響。

This paper investigates whether the lunar phases influence stock returns in both the Taiwan and U.S. stock markets and further compares if there is a difference in the impact of the lunar phases on stock returns between both markets. Using the daily returns of Taiwan Weighted Stock Index and four major U.S. market indices (DJIA, S&P 500, NYSE, and NASDAQ), we find that the mean returns are higher on the days around new moon than those on the days around full moon in both markets, but this observation is not statistically significant at conventional levels. Moreover, we find that there are more negative returns as the trading days are more close to full moon days in the Taiwan stock market, while we find the results to the contrary in the U.S. stock markets. Based on the results of the regression analysis, we find a positive effect of new moon on U.S. stock returns at the interval of the 5 days before and after new moon day. However, we still find no evidence that the Taiwan stock returns are affected by the lunar phases.