Losing Sleep at the Market: The Daylight-Savings Anomaly

20 Pages Posted: 29 Feb 2000

See all articles by Mark J. Kamstra

Mark J. Kamstra

York University - Schulich School of Business

Lisa A. Kramer

University of Toronto - Rotman School of Management

Maurice D. Levi

University of British Columbia (UBC) - Sauder School of Business

Multiple version iconThere are 2 versions of this paper

Date Written: May 1999

Abstract

We explore the connection between equity returns and sleep disruptions following daylight-savings time changes. In international markets, the average Friday-to-Monday return on daylight-savings weekends is markedly lower than expected, with a magnitude 200 to 500 percent larger than the average negative return for other weekends of the year. This ``daylight-savings anomaly'' in financial markets is consistent with desynchronosis research which has identified the effects of changes in sleep patterns on judgment, anxiety, reaction time, problem solving and accidents. This paper suggests sleep effects of daylight-savings time changes may be impacting market participants internationally.

JEL Classification: G0

Suggested Citation

Kamstra, Mark J. and Kramer, Lisa A. and Levi, Maurice David, Losing Sleep at the Market: The Daylight-Savings Anomaly (May 1999). Sauder School of Business Working Paper, Available at SSRN: https://ssrn.com/abstract=208623 or http://dx.doi.org/10.2139/ssrn.208623

Mark J. Kamstra (Contact Author)

York University - Schulich School of Business ( email )

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Lisa A. Kramer

University of Toronto - Rotman School of Management ( email )

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Canada
416-978-2496 (Phone)
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HOME PAGE: http://www.chass.utoronto.ca/~lkramer

Maurice David Levi

University of British Columbia (UBC) - Sauder School of Business ( email )

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Vancouver BC V6T 1Z2
Canada
604-822-8260 (Phone)
604-822-8521 (Fax)

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