Bartłomiej Lisicki

Department of Accounting, University of Economics in Katowice,

Poland

bartlomiej.lisicki@ue.katowice.pl

ORCID 0000-0003-0268-009X

Lunar effect in the times of above-average uncertainty on the financial markets: Evidence from Poland

Abstract. The aim of this paper is to verify the effect of moon phases (lunar effect) on the main indices of the Warsaw Stock Exchange (WSE) in 2020-2024. In these years was possible to indicate periods of increased market volatility. It provides the basis for undertaking considerations on the possibility for observing existing dependencies on the global stock markets. Using the quotations of four main WSE indices (WIG, WIG20, mWIG40, sWIG80), daily logarithmic returns were calculated in two event windows: one-day (t0), and three-day, covering one session day before and one after a specific moon phase (t-1-t+1). Based on 39 qualified new and full moons, medians of the returns differing significantly from zero were observed on the day of the new moon for all the analysed WSE indices. Moreover, the values of returns were average higher than zero on days adjacent to the new moon. However, no statistical significance was found for the median value of the returns on full moon days (except in one case, sWIG80). It is worth underlining that this research is one of the first attempts to verify the effect of moon phases in the current era of increased volatility of financial instruments on world markets in relation to the financial instrument listed on the WSE.

Received: July, 2025

1st Revision: January, 2026

Accepted: March, 2026

DOI: 10.14254/2071-8330.2026/19-1/7

JEL Classification: G11, G12, G17

Keywords: efficient market hypothesis, lunar effect, behavioural finance, financial markets, stock indices