Detecting synchronous cycles in financial time series of unequal length

Erhard Reschenhofer and Michaela Lingler

Journal of Empirical Finance, 2013, vol. 24, issue C, 1-9

Abstract: 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.

Keywords: Frequency-domain test; Synchronous patterns; Phases of the moon; Stock returns (search for similar items in EconPapers)
JEL-codes: C12 C22 G14 (search for similar items in EconPapers)
Date: 2013
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Persistent link: https://EconPapers.repec.org/RePEc:eee:empfin:v:24:y:2013:i:c:p:1-9

DOI: 10.1016/j.jempfin.2013.07.003

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