We have analyzed the timing properties of the Narrow-line Seyfert 1 galaxy Mrk 766 observed with XMM-Newton during the PV phase. The source intensity changes by a factor of 1.3 over the 29,000 second observation. If the soft excess is modeled by a black body component, as indicated by the EPIC pn data, the luminosity of the black body component scales with its temperature according to L ~ T^4. This requires a lower limit black body size` of about 1.3*10^25 cm^2. In addition, we report the detection of a strong periodic signal with 2.4*10^-4 Hz. Simulations of light curves with the observed time sequence and phase randomized for a red noise spectrum clearly indicate that the periodicity peak is intrinsic to the distant AGN. Furthermore, its existence is confirmed by the EPIC MOS and RGS data. The spectral fitting results show that the black body temperature and the absorption by neutral hydrogen remain constant during the periodic oscillations. This observational fact tends to rule out models in which the intensity changes are due to hot spots orbiting the central black hole. Precession according to the Bardeen-Petterson effect or instabilities in the inner accretion disk may provide explanations for the periodic signal.