The U.S. Financial Markets

are Correlated with Specific
Moon Phases 
Accurate or Complete “Lunacy”? 
 
Marco Hickey
April 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 indices
and the ten year Treasury bond, juxtaposed to the phases of the moon.
 Since ancient times entire civilizations have associated the lunar phases with specific
human behaviors. Extensive research has been conducted over the years to see if there are any
significant changes in human behavior during specific lunar phases. As written by Paracelsus in
the 16th century “mania has the following symptoms: frantic behaviour, unreasonableness,
constant restlessness and mischievousness. Some patients suffer from it depending on the phases
of the moon” (1). More recently Lieber and Sherin reported homicides over 15 years in from
1956-1970 given the lunar phase, and found it to be statistically significant peaking at times of a
full moon and a secondary peak at periods just after the new moon phase (2). If the lunar phases
do 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 Efficient
Market 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 was
conducted in 1985 by Ivan Kelly and James Rotton, investigating a relationship between the
moon phases the Dow Jones Industrial Average, but nothing was proved to be significant. The
goal of this research is aimed at finding any significant correlation between the U.S. financial
markets, using data from five major indices and the ten year bond, and the moon phases, using
data from four lunar phases.
Data from the United States Naval Observatory website was obtained. The data includes
information 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 was
obtained for 21 years from years 1988-2008. Data from Merrill Lynch was also obtained. The
data includes information for the 10 year Treasury bond note, and five major U.S. stock indices
which 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 each
index. In the first column was the date, in the next column was the index closing price
corresponding 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 in
the spreadsheet where a one indicated an occurrence for each specific lunar event, and a zero
indicated no occurrence, corresponding to each date. Similar research papers include a time
window, 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 a
specific lunar event. The dummy variables are: d1 , d 2 , d 3 , and d 4 . The econometric model used
for the regression was yt = β0 + β1d1 + β1d2 + β1d2 + β3d3 + β4d4 + yt−1 +εt  where yt = index closing price,
d1 = 1 if new moon event, = 0 otherwise, d 2 = 1 if full moon event, 0 otherwise, d 3 = 1 if total
solar eclipse event, = 0 otherwise, d 4 = 1 if total lunar eclipse event, = 0 otherwise, and yt −1 =
index closing price in the previous period.
Six regressions from Stata were performed; five of which were U.S. financial indices, and
one for the 10 year Treasury bond note. For the S&P 500 index there was a significant
relationship between the close price and the occurrence of a new moon phase. The table below is
the 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&P
500 index is higher by 6.41 points on average, with the occurrence of a new moon relative to a
normal day.
For the Dow Jones Industrial Average index the findings were similar. Again the Stata
regression is below.

The data from the Dow Jones Industrial Average demonstrates the only significant
statistic besides the previous day’s close is dummy variable 1 again. The regression suggests that
the Dow Jones Industrial Average index is higher by 56.18 points on average, with the
occurrence of a new moon relative to a normal day.
For the NASDAQ index again the findings were similar as seen in the table below.

 
 For the NASDAQ the only significant statistic besides the previous day’s index close is
the dummy variable for new moon again. This regression shows that NASDAQ index is higher
by 10.50 points on average, with the occurrence of a new moon phase relative to a normal day.
This data may just be a coincidence because these are the major averages which seem to
move together. However, the next three regressions include two indices much less covered in the
media, and the 10 year Treasury bond note. The first is the New York Stock Exchange
Composite Index which covers all of the common stocks listed on the New York Stock
Exchange, including foreign listings, Real Estate Investment Trusts (REITs), American
Depository Receipts (ADRs), and even tracking stocks. Below is the Stata regression.

Again the results are similar as the previous three. The only significant statistic besides
the previous day’s index closing price is d1 or the occurrence of a new moon. This regression
shows that NYSE composite index is higher by 37.19 points on average, with the occurrence of a
new moon phase relative to a normal day.
The next index is the Russell 2000 index or a combination of 2000 small cap stocks.
Small cap stocks historically have much less interest than the large cap stocks or typical
household name stocks. However small caps are largely institutionally owned, meaning there are
fewer shares to be purchased, making them more volatile and less attractive to the average
investor. The question here is with fewer shares available to be bought or sold directly by
humans and less human interest in these types of assets, could the new moon correlate with these
small cap securities the same as the securities in previous four indices? The results from the
regression are in the table below.

Once again the results are identical to that of the previous four. The d1 variable being an
occurrence of the new moon is significantly correlated to the Russell 2000 index. As the results
show with each occurrence of a new moon relative to a normal day, the Russell 2000 index
trades higher by an average of 2.86 points.
The final observation is that of the 10 year Treasury bond note. To test the old saying
“when bonds fly, stocks die” and vice versa the regression on a bond needed to be ran. The
assumption is that when the bond yield begins to rise, equities suffer because there is less risk
involved with the Treasury bond(s), therefore investors take less of a stake in equities and invest
in bonds getting a “guaranteed” return for less of a risk. Buying a bond causes the bond yield to
move lower. Similarly when bond yields rise, it means there is selling pressure on the bond.
Therefore the assumption with the last five regressions would be that the bond yield will increase
with each occurrence of a new moon. The regression results can be seen in the table below. Note
that the price measured is actually the rate of the bond yield.

Sure enough the assumption is correct. The d1 variable is significantly correlated to the
10 year Treasury bond note. As the results show with each occurrence of a new moon relative to
a normal day, the yield on the 10 year Treasury bond note is higher by an average .02 percentage
points or two basis points.
In conclusion, there seems to be correlations between the U.S. financial markets, using
data for the five major indices and the ten year bond, juxtaposed to the phases of the moon by
analyzing the data from four lunar phases. Not taken into account in this research paper are
matters of political actions, natural disasters, and technological developments which have
affected the markets for generations. In every regression, equities (inverse for the 10 year bond)
gained value on average with the occurrence of a new moon. Speaking of animal spirits, when
humans (consumers) are confident, the economy is much healthier. When the economy is healthy
the stock market performs well; this results from a number of factors, two being lower
unemployment and higher levels of job security. When more people have jobs and there are
higher levels of job security, it results in individuals taking greater risks, all of which attribute to
stock market growth. Could the new moon phase have a psychological effect on humans, where
it creates confidence and makes the stock market increase in value? The regressions from this
research certainly suggest it could.
In a simple syllogism: If a new moon phase affects humans to be more confident, and
confident humans take more risk attributing to stock market growth, then a new moon phase will
result in the stock market doing well.
 REFERENCES

(1) CMA Media Inc. Bad Moon Rising: the persistent belief in lunar connections to madness
[LINK]
(2) Lieber Arnold L, Sherin Carolyn R. Homicides and the lunar cycle: Toward a theory of lunar
influence on human emotional disturbance. [LINK]