Abstract
The objective of the research is to analyze effects of the supermoon phenomenon on stock market returns in Vietnam. Data were obtained from daily series the VN-Index collected from HCMC Stock Exchange (HOSE) from 13/3/2002 to 31/12/2015, using estimation models including GARCH(1,1), GARCH-M(1,1) and TGARCH(1,1). The analysis result shows that GARCH-M(1,1) model proved to be effective in describing daily stock returns features. The findings shows that supermoon phenomenon has a significantly negative impact on the stock returns. This empirical evidence implies that the supermoon phenomenon has effects on behavior of investors, thus affecting financial decisions.
This is a preview of subscription content, log in via an institution to check access.
Access this chapter
Tax calculation will be finalised at checkout
Purchases are for personal use only
References
Asch, S.E.: Effects of group pressure on the modification and distortion of judgements. In: Guetzkow, H. (ed.) Groups, Leadership and Men, pp. 177–190. PA Carnegie Press, Pittsburgh (1951)
Benartzi, S., Thaler, R.H.: Myopic loss aversion and the equity premium puzzle. Q. J. Econ. 110(1), 73–92 (1995)
Benbadis, S.R., Chang, S., Hunter, J., Wang, W.: The influence of the full moon on seizure frequency: myth or reality? Epilepsy Behav. 5, 596–597 (2004)
Bollerslev, T.: Generalized autoregressive conditional heteroskedasticity. J. Econom. 31(3), 307–327 (1986)
Borowski, K.: Moon phases and rates of return of WIG index on the Warsaw stock exchange. Int. J. Econ. Financ. 7(8), 256–264 (2015)
Cajochen, C., Altanay-Ekici, S., Munch, M., Frey, S., Knoblauch, V., Wirz-Justice, A.: Evidence that the lunar cycle influences human sleep. Current Biol. 23(15), 1485–1488 (2013)
Cheng, P.Y.K.: The trader interaction effect on the impact of overconfidence on trading performance: an empirical study. J. Behav. Financ. 8(2), 59–69 (2007)
Condoyanni, L., O’hanlon, J., Ward, C.W.: Day of the week effects on stock returns: international evidence. J. Bus. Financ. Account. 14(2), 159–174 (1987)
Deaves, R., Laders, E., Schroder, M.: The dynamics of overconfidence: evidence from stock market forecasters. J. Econ. Behav. Organ. 75(3), 402–412 (2010)
Fama, E.F.: Efficient capital markets: a review of theory and empirical work. J. Financ. 25(2), 383–417 (1970)
Floros, C.: Stock market returns and the temperature effect: new evidence from Europe. Appl. Financ. Econ. Lett. 4(6), 461–467 (2008)
Floros, C., Tan, Y.: Moon phases, mood and stock market returns: international evidence. J. Emerg. Mark. Financ. 12(1), 107–127 (2013)
Frijda, N.: The laws of emotion. Am. Psychol. 43(5), 249–358 (1988)
Geller, S.H., Shannon, H.W.: The moon, weather and mental hospital contacts: confirmation and explanation of the Transylvania effect. J. Psychiatr. Nurs. 14, 13–17 (1976)
Gokcan, S.: Forecasting volatility of emerging stock markets: linear versus non-linear GARCH models. J. Forecast. 19(6), 499–504 (2000)
Hamilton, L.: Supermoons: how can they affect you? http://www.psychicsuniverse.com/articles/astrology/supermoons-how-can-they-affect-you. Accessed 24 Sept 2016
Hirshleifer, H., Shumway, T.: Good day sunshine: stock returns and the weather. J. Financ. 58(3), 1009–1032 (2003)
Levy, H., Post, T.: Investments. Pearson Education, London (2005)
Thach, N.N., Van Diep, N.: Friday the thirteenth and the stock market in Vietnam. Vietnam Bank. Technol. Rev. 104, 36–44 (2014)
Nolle, R.: The Super Moon and Other Lunar Extremes. The Mountain Astrologer, 21–24 October/November 2007
Pettengill, G.N.: A survey of the monday effect literature. Q. J. Bus. Econ. 42(3/4), 3–27 (2003)
Radin, D.I., Rebmam, J.M.: Lunar correlates of normal, abnormal and anomalous human behavior. Subtle Energ. Energy Med. J. Arch. 5(3), 209–238 (1994)
Rotton, J., Kelly, I.W.: Much ado about the full moon: a meta-analysis of lunar-lunacy research. Psychol. Bull. 97(2), 286–306 (1985)
Rozeff, M.S., Kinney, W.R.: Capital market seasonality: the case of stock returns. J. Financ. Econ. 3, 379–402 (1976)
Rystrom, D.S., Benson, E.D.: Investor psychology and the day-of-the-week effect. Financ. Anal. J. 45(5), 75–78 (1989)
Seidelmann, P.K.: Explanatory Supplement to the Astronomical Almanac. University Science Books, Mill Valley (2005)
Shiller, R.J.: From efficient markets theory to behavioral finance. J. Econ. Perspect. 17(1), 83–104 (2003)
Thaler, R.H.: Anomalies: the ultimatum game. J. Econ. Perspect. 2(4), 195–206 (1988)
Tram, T.X.H., Vo, X.V., Nguyen, P.C.: Monday effect on the Vietnamese stock exchange pre-crisis, and post-crisis. Vietnam J. Dev. Integr. 20(30), 55–60 (2015)
Tversky, A., Kahneman, D.: Advances in prospect theory: cumulative representation of uncertainty. J. Risk Uncertain. 5(4), 297–323 (1992)
University of Hertfordshire: Mass participation experiment reveals how to create the perfect dream (2014). www.sciencedaily.com/releases/2014/03/140326212710.htm. Accessed 24 May 2016
Yuan, K., Zheng, L., Zhu, Q.: Are investors moonstruck? Lunar phases and stock return. J. Empir. Financ. 13(1), 1–23 (2006)
Zimecki, M.: The lunar cycle: effects on human and animal behavior and physiology. Postepy Hig. Med. Dosw. 60, 1–7 (2006)
Author information
Authors and Affiliations
Corresponding authors
Editor information
Editors and Affiliations
Rights and permissions
Copyright information
© 2018 Springer International Publishing AG
About this paper
Cite this paper
Thach, N.N., Van Diep, N. (2018). The Impact of Supermoon on Stock Market Returns in Vietnam. In: Anh, L., Dong, L., Kreinovich, V., Thach, N. (eds) Econometrics for Financial Applications. ECONVN 2018. Studies in Computational Intelligence, vol 760. Springer, Cham. https://doi.org/10.1007/978-3-319-73150-6_48
Download citation
DOI: https://doi.org/10.1007/978-3-319-73150-6_48
Published:
Publisher Name: Springer, Cham
Print ISBN: 978-3-319-73149-0
Online ISBN: 978-3-319-73150-6
eBook Packages: EngineeringEngineering (R0)