20 Pages Posted: 29 Feb 2000
Date Written: May 1999
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: Suggested Citation
Kamstra, Mark J. and Kramer, Lisa A. and Levi, Maurice D., 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