Moon Phases and Rates of Return of WIG Index on the Warsaw Stock Exchange

The influence of the moon on human behavior have been featured in many, not only scientific publications. This paper tests the hypothesis that the one-session rates of return of index WIG (Warsaw Stock Exchange) in the period of 16.04.1991-31.03.2015, calculated for each of the following phases: full moon, new moon, first and third quarter, are statistically different form zero (at the significance level of 95%). Calculations presented in this paper indicate that the one-session average rates of return for the sessions when the moon was in new phase, are statistically different from zero. In turn, the one-session average rates of return computed for each day of the week, when the moon was in one of analyzed phases (full, new, first and third quarter) did not differentiate from zero. However calculations of one-session average rates of return, regarding moon phases falling in a specific month displayed that they are statistically different from zero regarding: full moon sessions in February and June, the first quarter sessions in February and November, as well as the third quarter sessions in October