Abstract

https://ssrn.com/abstract=208623
 
 

Citations (43)



 


 



Losing Sleep at the Market: The Daylight-Savings Anomaly


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

May 1999

Sauder School of Business Working Paper

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.

Number of Pages in PDF File: 20

JEL Classification: G0


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Date posted: February 29, 2000  

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

Contact Information

Mark J. Kamstra (Contact Author)
York University - Schulich School of Business ( email )
4700 Keele Street
Toronto, Ontario M3J 1P3
Canada
Lisa A. Kramer
University of Toronto - Rotman School of Management ( email )
105 St. George Street
Toronto, Ontario M5S 3E6
Canada
416-978-2496 (Phone)
416-971-3048 (Fax)
HOME PAGE: http://www.chass.utoronto.ca/~lkramer

Maurice David Levi
University of British Columbia (UBC) - Sauder School of Business ( email )
2053 Main Mall
Henry Angus 865
Vancouver BC V6T 1Z2
Canada
604-822-8260 (Phone)
604-822-8521 (Fax)
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