Many moons ago (pardon the obvious pun....), I studied & was heavily involved in stock markets (particulary US-based Futures contracts).
One of world's biggest markets is the NYSE. The ES, YM etc...etc.... are all futures contracts based on the constituent parts of the NYSE.
New York has a very large Jewish population, so it stands to reason that a large number of the professional (institutional) traders are Jewish.
There are a number of traditional Jewish holidays where no work is permitted. These most often occur around full moon.
If the "Big Boys" (ie. institutional traders) aren't playing at those times (since they're observing those holidays) & their HUGE funds aren't able to push/hold/influence the markets in any particular direction, then we're looking at retail traders, who have small funds available & they can't have any influence on the markets overall.
Since there's no "Big Money" involved, the markets won't move one way or another & tend to stagnate, or showing erratic/volatile movements in the charts. It's all there in the charts if you study them each full moon/Jewish holiday where no work is permitted.
That's my theory & I never traded around full moon.
There are "other" theories.........