Detecting synchronous cycles in financial time series of unequal length

This paper proposes a modification of an optimal test for cycles in multiple time series and applies it to test the hypothesis that there is a relationship between stock returns and the phases of the moon. No significant relationship is found, which is in line with the evidence from descriptive statistics. The fact that previous studies have reached different conclusions is traced to the use of inappropriate statistical methods and data snooping.

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Year of publication:	2013
Authors:	Reschenhofer, Erhard ; Lingler, Michaela
Published in:	Journal of Empirical Finance. - Elsevier, ISSN 0927-5398. - Vol. 24.2013, C, p. 1-9
Publisher:	Elsevier
Subject:	Frequency-domain test \| Synchronous patterns \| Phases of the moon \| Stock returns

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Type of publication:	Article
Classification:	C12 - Hypothesis Testing ; C22 - Time-Series Models ; G14 - Information and Market Efficiency; Event Studies
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10010729487