Journal of Emerging Economies and Islamic Research


Volume 2, Number 2, Year 2014




The random walk theory is a theory which states that market prices are not influenced by prior price movements and therefore, prices in the stock market cannot simply be predicted. The stock market is considered efficient and follows the random walk theory when intelligent market participants lead the situation and reflect all available information based on past or future events. Preliminary evidences however, indicate that there are various anomalies such as calendar anomalies that could lead to market inefficiency. On the other hands, a lunar effect is a phenomenon where mean returns around the new moon is higher than mean returns around the full moon. Using non-parametric and basic multiple linear regression analysis, this study aims to investigate relationships between lunar effect and average stock returns for ten emerging countries for the period of January 2004 until December 2010.  The result shows that returns on the full moon were slightly lower as compared to the returns on the new moon prior to the financial crisis and vice versa during the financial crisis.



Lunar Effect; Calendar Anomalies; Investor Behaviour; Financial Crisis; Random Walk Theory