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Losing Sleep at the Market: The Daylight Saving Anomaly

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  • Lisa A. Kramer
  • Mark J. Kamstra
  • Maurice D. Levi

Abstract

Motivated by the recent flurry of activity in sleep research, this paper explores the connection between sleep disruptions following Spring and Fall clock shifts associated with daylight-savings time, and equity returns. It is shown that the "weekend effect" in the form of the lower-than-expected Friday-to Monday returns is particularly pronounced for the two weekends involving daylight-savings clock changes.

(This abstract was borrowed from another version of this item.)

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File URL: http://www.aeaweb.org/articles.php?doi=10.1257/aer.90.4.1005
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Bibliographic Info

Article provided by American Economic Association in its journal American Economic Review.

Volume (Year): 90 (2000)
Issue (Month): 4 (September)
Pages: 1005-1011

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Handle: RePEc:aea:aecrev:v:90:y:2000:i:4:p:1005-1011

Note: DOI: 10.1257/aer.90.4.1005
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  1. Gibbons, Michael R & Hess, Patrick, 1981. "Day of the Week Effects and Asset Returns," The Journal of Business, University of Chicago Press, vol. 54(4), pages 579-96, October.
  2. Kamstra, M.J. & Kramer, L.A. & Levi, M.D., 1998. "Losing Sleep at the Market: The Daylight-Savings Anomaly," Discussion Papers dp98-04, Department of Economics, Simon Fraser University.
  3. Agrawal, Anup & Tandon, Kishore, 1994. "Anomalies or illusions? Evidence from stock markets in eighteen countries," Journal of International Money and Finance, Elsevier, vol. 13(1), pages 83-106, February.
  4. Maurice D. Levi, 1978. "The Weekend Game: Clearing House vs Federal Funds," Canadian Journal of Economics, Canadian Economics Association, vol. 11(4), pages 750-57, November.
  5. Francis X. Diebold & Celia Chen, 1993. "Testing structural stability with endogenous break point: a size comparison of analytic and bootstrap procedures," Working Papers 93-11, Federal Reserve Bank of Philadelphia.
  6. Abraham, Abraham & Ikenberry, David L., 1994. "The Individual Investor and the Weekend Effect," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 29(02), pages 263-277, June.
  7. Lakonishok, Josef & Maberly, Edwin, 1990. " The Weekend Effect: Trading Patterns of Individual and Institutional Investors," Journal of Finance, American Finance Association, vol. 45(1), pages 231-43, March.
  8. Rogalski, Richard J, 1984. " New Findings Regarding Day-of-the-Week Returns over Trading and Non-trading Periods: A Note," Journal of Finance, American Finance Association, vol. 39(5), pages 1603-14, December.
  9. Connolly, Robert A., 1989. "An Examination of the Robustness of the Weekend Effect," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 24(02), pages 133-169, June.
  10. repec:fth:simfra:98-04 is not listed on IDEAS
  11. Donaldson, R. Glen & Kim, Harold Y., 1993. "Price Barriers in the Dow Jones Industrial Average," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 28(03), pages 313-330, September.
  12. Thaler, Richard H, 1987. "Seasonal Movements in Security Prices II: Weekend, Holiday, Turn of the Month, and Intraday Effects," Journal of Economic Perspectives, American Economic Association, vol. 1(2), pages 169-77, Fall.
  13. Lakonishok, Josef & Levi, Maurice, 1982. " Weekend Effects on Stock Returns: A Note," Journal of Finance, American Finance Association, vol. 37(3), pages 883-89, June.
  14. French, Kenneth R., 1980. "Stock returns and the weekend effect," Journal of Financial Economics, Elsevier, vol. 8(1), pages 55-69, March.
  15. Jaffe, Jeffrey F & Westerfield, Randolph, 1985. " The Week-End Effect in Common Stock Returns: The International Evidence," Journal of Finance, American Finance Association, vol. 40(2), pages 433-54, June.
  16. Coats, Warren L, Jr, 1981. "The Weekend Eurodollar Game," Journal of Finance, American Finance Association, vol. 36(3), pages 649-59, June.
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