I don't know if this observation inadvertently answers your question, but I find it interesting that the word "lunatic" is derived from the word "moon."
Are Investors Moonstruck? Lunar Phases and Stock Returns Abstract Biological and psychological evidence suggests that lunar phases affect human behavior and mood. Do lunar phases affect investors' trading behavior and thus stock market returns? This paper investigates the relation between lunar phases and stock market returns in 48 countries. We find strong global evidence that stock returns are lower on days around a full moon than on days around a new moon. The magnitude of the return difference is 5.4 percent per annum based on our 15-day window analysis of the global portfolio. The return difference is not due to changes in stock market volatility. Moreover, the lunar effect is independent of other calendar-related anomalies such as the January effect, the day-of-week effect, the calendar month effect, the holiday effect. We also find that the lunar effect is not due to the returns around lunar holidays. http://webuser.bus.umich.edu/kyuan/moonstruck.pdf
What a little moonlight can do How the sun and the moon move markets WHEN ace traders call themselves âMasters of the Universeâ, they speak truer than they know. There is a growing, heavenly body of evidence that share prices are influenced by forces from outer spaceâwell, the sun and the moon, anyway. Master these inter-planetary forces, and you master the markets. Seven souls have boldly gone where no economists have gone before, producing no fewer than three new papers quantifying extra-terrestrial influences at work in world stockmarkets. David Hirshleifer, of Ohio State University, and Tyler Shumway, of the University of Michigan, have taken a long look at the sun. Across 26 stockmarkets, in 1982-97, they found that, on days with more sunshine in the morning than usual, shares generated above-average gains, and lower gains on unusually cloudy days. After taking sunshine into account, other weather conditions such as snow or rain turned out to have no impact on share returns. The effect of the sun seems to have been quite big. For shares traded in New York, for instance, annualised returns on perfectly sunny days averaged 24.8%, compared with 8.7% on perfectly cloudy days. Moreover, unlike some stockmarket âanomaliesâ discovered by economists, investing by the sun would have been more profitable than simply investing in the market index, even after subtracting trading costs. Alas, this does not guarantee profitable trading in the future. Even assuming the effect really exists, investors, now they have been alerted to it, will probably arbitrage away any excess returns to be had by exploiting it.
The other two papers, both published by the University of Michigan, look a little closer to home, at the moon. Kathy Yuan, Lu Zheng and Qiaoqiao Zhu examined share returns in 48 countries until the end of July 2001, from start dates as far back as 1965. They found that, on average, daily returns were much higher around new moons than full moons, when investors are presumably sprouting fangs and howling rather than buying shares. Returns were 8.3% lower in weeks with a full moon than ones with a new moon. The lunar effect held in 43 of the 48 countries, and investing by it would have been profitable even after trading costs. Ilia Dichev and Troy Janes reach a similar conclusion from a study of 100 years of American share prices, and at least 15 years' data in each of 24 other countries. Daily returns around new moons were roughly double those around full moons. The lunar effect is strongest outside America. All seven economists insist that their results are not the product of data-miningâcrunching the numbers in search of any interesting pattern they can find. Rather, the results are the latest manifestation of behavioural finance, which seeks to show how psychological patterns explain apparent market inefficiencies. Still, although it is widely believed that the phases of the moon affect behaviour, psychologists have yet convincingly to prove it. The behavioural economists reckon this may be because psychologists have focused on trying to link the moon to extreme behavioural problems in a few disturbed people, rather than to more humdrum lunacies affecting humanity as a whole, including a bias against shares around full moons. There is, on the other hand, stronger scientific evidence that sunshine puts people in a better mood, as well as making them more credulous. You will find that, even as you reach for your diary for the next new moon, the sun is surely shining. http://www.economist.com/finance/displayStory.cfm?Story_ID=824707