Advertisement

The Impact of Supermoon on Stock Market Returns in Vietnam

  • Nguyen Ngoc Thach
  • Nguyen Van Diep
Conference paper
Part of the Studies in Computational Intelligence book series (SCI, volume 760)

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.

References

  1. 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)Google Scholar
  2. Benartzi, S., Thaler, R.H.: Myopic loss aversion and the equity premium puzzle. Q. J. Econ. 110(1), 73–92 (1995)CrossRefzbMATHGoogle Scholar
  3. 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)CrossRefGoogle Scholar
  4. Bollerslev, T.: Generalized autoregressive conditional heteroskedasticity. J. Econom. 31(3), 307–327 (1986)MathSciNetCrossRefzbMATHGoogle Scholar
  5. 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)CrossRefGoogle Scholar
  6. 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)CrossRefGoogle Scholar
  7. 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)CrossRefGoogle Scholar
  8. 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)CrossRefGoogle Scholar
  9. Deaves, R., Laders, E., Schroder, M.: The dynamics of overconfidence: evidence from stock market forecasters. J. Econ. Behav. Organ. 75(3), 402–412 (2010)CrossRefGoogle Scholar
  10. Fama, E.F.: Efficient capital markets: a review of theory and empirical work. J. Financ. 25(2), 383–417 (1970)CrossRefGoogle Scholar
  11. Floros, C.: Stock market returns and the temperature effect: new evidence from Europe. Appl. Financ. Econ. Lett. 4(6), 461–467 (2008)CrossRefGoogle Scholar
  12. Floros, C., Tan, Y.: Moon phases, mood and stock market returns: international evidence. J. Emerg. Mark. Financ. 12(1), 107–127 (2013)CrossRefGoogle Scholar
  13. Frijda, N.: The laws of emotion. Am. Psychol. 43(5), 249–358 (1988)CrossRefGoogle Scholar
  14. 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)Google Scholar
  15. Gokcan, S.: Forecasting volatility of emerging stock markets: linear versus non-linear GARCH models. J. Forecast. 19(6), 499–504 (2000)CrossRefGoogle Scholar
  16. Hamilton, L.: Supermoons: how can they affect you? http://www.psychicsuniverse.com/articles/astrology/supermoons-how-can-they-affect-you. Accessed 24 Sept 2016
  17. Hirshleifer, H., Shumway, T.: Good day sunshine: stock returns and the weather. J. Financ. 58(3), 1009–1032 (2003)CrossRefGoogle Scholar
  18. Levy, H., Post, T.: Investments. Pearson Education, London (2005)Google Scholar
  19. Thach, N.N., Van Diep, N.: Friday the thirteenth and the stock market in Vietnam. Vietnam Bank. Technol. Rev. 104, 36–44 (2014)Google Scholar
  20. Nolle, R.: The Super Moon and Other Lunar Extremes. The Mountain Astrologer, 21–24 October/November 2007Google Scholar
  21. Pettengill, G.N.: A survey of the monday effect literature. Q. J. Bus. Econ. 42(3/4), 3–27 (2003)Google Scholar
  22. 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)Google Scholar
  23. 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)CrossRefGoogle Scholar
  24. Rozeff, M.S., Kinney, W.R.: Capital market seasonality: the case of stock returns. J. Financ. Econ. 3, 379–402 (1976)CrossRefGoogle Scholar
  25. Rystrom, D.S., Benson, E.D.: Investor psychology and the day-of-the-week effect. Financ. Anal. J. 45(5), 75–78 (1989)CrossRefGoogle Scholar
  26. Seidelmann, P.K.: Explanatory Supplement to the Astronomical Almanac. University Science Books, Mill Valley (2005)Google Scholar
  27. Shiller, R.J.: From efficient markets theory to behavioral finance. J. Econ. Perspect. 17(1), 83–104 (2003)CrossRefGoogle Scholar
  28. Thaler, R.H.: Anomalies: the ultimatum game. J. Econ. Perspect. 2(4), 195–206 (1988)CrossRefGoogle Scholar
  29. 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)Google Scholar
  30. Tversky, A., Kahneman, D.: Advances in prospect theory: cumulative representation of uncertainty. J. Risk Uncertain. 5(4), 297–323 (1992)CrossRefzbMATHGoogle Scholar
  31. 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
  32. Yuan, K., Zheng, L., Zhu, Q.: Are investors moonstruck? Lunar phases and stock return. J. Empir. Financ. 13(1), 1–23 (2006)CrossRefGoogle Scholar
  33. Zimecki, M.: The lunar cycle: effects on human and animal behavior and physiology. Postepy Hig. Med. Dosw. 60, 1–7 (2006)Google Scholar

Copyright information

© Springer International Publishing AG 2018

Authors and Affiliations

  1. 1.Banking University of Ho Chi Minh CityHo Chi Minh CityVietnam
  2. 2.Ho Chi Minh City Open UniversityHo Chi Minh CityVietnam

Personalised recommendations