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Author
Lizińska Joanna (Poznań University of Economics)
Title
On the Rationality of Investors - Lunar Phases and Equity Returns in Poland
Z badań nad racjonalnością inwestorów - fazy księżyca a stopy zwrotu na giełdzie papierów wartościowych w Warszawie
Source
Finanse, Rynki Finansowe, Ubezpieczenia, 2017, nr 5 (89) cz. 2, s. 131-141, rys., tab., bibliogr. 26 poz.
Issue title
Rynki kapitałowe
Keyword
Stopa zwrotu akcji, Rynki wschodzące, Racjonalność, Decyzje inwestycyjne
Stock rate of returns, Emerging markets, Rationality, Investment decisions
Note
streszcz., summ.
Abstract
Cel - Celem badań było zbadanie związku między fazami księżyca a stopami zwrotu realizowanymi na Giełdzie Papierów Wartościowych w Warszawie (GPW). W ostatnich latach, pozaekonomiczne czynniki kształtujące rynkową wartość spółki zyskują na znaczeniu. Metodologia badania - Okresy nowiu (pełni) określono jako 9-dniowe okna, koncentrujące się wokół dni, w których obserwowano daną fazę księżyca. Na podstawie arytmetycznych stóp zwrotu dla giełdy obliczano przeciętne dzienne i przeciętne skumulowane stopy zwrotu dla okna zdarzenia. Analizę poszerzono o efekt wielkości spółki, efekt miesiąca, efekt połowy miesiąca oraz ocenę odporności wyników. Wynik - Stopy zwrotu w okresie pełni były znacząco niższe w porównaniu do tych osiąganych podczas nowiu. Wpływ cyklu księżyca był znaczący - aczkolwiek z różnym natężeniem - również po uwzględnieniu wielkości spółek. Efekt miesiąca oraz połowy miesiąca nakładał się na efekt faz księżyca. Oryginalność/wartość - Zastosowana metoda badania związku pomiędzy fazami księżyca i stopami zwrotu jest w zakresie badań nad spółkami notowanymi na rynku głównym w Polsce nowa i umożliwia porównanie z wynikami badań otrzymanymi dla innych rynków. (abstrakt oryginalny)

Purpose - The paper examines the popular belief that the cycles of the moon affect human moods, which is then reflected in investor behaviour. Hence, the relation between lunar phases and equity returns in Poland was examined. Design/methodology/approach - New (full) moons were called nine-day windows with the centre in the new (full) moon day. Arithmetic daily index returns and average daily and cumulative returns were calculated for the session days in the new and full moon windows. Then the lunar effect on the market portfolio was observed with additional analysis for size effect, calendar month effect, and half-of-the-month effect. A robustness check tested the results. Findings - Average returns around full moon dates were substantially lower than returns around new moon dates. For size-related indexes, the results were similar. However, for small companies the differences were somewhat smaller. Average returns both for bear and bull months were positive and quite similar during the new moon phase. Average returns for full moon phases were tangibly negative for bear months and much lower for bull month as compared with results for the new moon phase. Both the lunar and the half of the month effects seemed to be important for returns in Poland. Originality/value - The study concentrated on the lunar effect for returns on the Warsaw Stock Exchange. The applied methodology is new for studying the relation for Poland. (original abstract)
Accessibility
The Library of University of Economics in Katowice
The Main Library of Poznań University of Economics and Business
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Bibliography
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ISSN
2450-7741
Language
eng
URI / DOI
http://dx.doi.org/10.18276/frfu.2017.89/2-10
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