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Losing Sleep at the Market: The Daylight-Savings Anomaly

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Author Info
Kamstra, M.J.
Kramer, L.A.
Levi, M.D.

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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.

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Publisher Info
Paper provided by Department of Economics, Simon Fraser University in its series Discussion Papers with number dp98-04.

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Length: 13 pages
Date of creation: 1998
Date of revision:
Handle: RePEc:sfu:sfudps:dp98-04

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Postal: Department of Economics, Simon Fraser University, 8888 University Drive, Burnaby, BC, V5A 1S6, Canada
Phone: (778)782-3508
Fax: (778)782-5944
Web page: http://www.econ.sfu.ca/
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Postal: Working Paper Coordinator, Department of Economics, Simon Fraser University, 8888 University Drive, Burnaby, BC, V5A 1S6, Canada
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Related research
Keywords: STOCK MARKET;

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Find related papers by JEL classification:
G14 - Financial Economics - - General Financial Markets - - - Information and Market Efficiency; Event Studies

References listed on IDEAS
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:

  1. 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. [Downloadable!] (restricted)
  2. 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. [Downloadable!] (restricted)
  3. 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. [Downloadable!]
  4. French, Kenneth R., 1980. "Stock returns and the weekend effect," Journal of Financial Economics, Elsevier, vol. 8(1), pages 55-69, March. [Downloadable!] (restricted)
  5. 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. [Downloadable!] (restricted)
  6. 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. [Downloadable!] (restricted)
  7. 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.
    Other versions:
  8. Diebold, Francis X. & Chen, Celia, 1996. "Testing structural stability with endogenous breakpoint A size comparison of analytic and bootstrap procedures," Journal of Econometrics, Elsevier, vol. 70(1), pages 221-241, January. [Downloadable!] (restricted)
    Other versions:
  9. Coats, Warren L, Jr, 1981. "The Weekend Eurodollar Game," Journal of Finance, American Finance Association, vol. 36(3), pages 649-59, June. [Downloadable!] (restricted)
  10. repec:fth:simfra:98-04 is not listed on IDEAS
  11. 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. [Downloadable!]
  12. 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. [Downloadable!]
  13. Gibbons, Michael R & Hess, Patrick, 1981. "Day of the Week Effects and Asset Returns," Journal of Business, University of Chicago Press, vol. 54(4), pages 579-96, October. [Downloadable!] (restricted)
  14. 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. [Downloadable!] (restricted)
  15. 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. [Downloadable!] (restricted)
  16. 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. [Downloadable!] (restricted)
Full references

Cited by:
(explanations, Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.)

  1. Mark J. Kamstra & Lisa A. Kramer & Maurice D. Levi, 2000. "Losing Sleep at the Market: The Daylight Saving Anomaly," American Economic Review, American Economic Association, vol. 90(4), pages 1005-1011, September. [Downloadable!] (restricted)
    Other versions:
  2. Jacobsen, B. & Marquering, W.A., 2004. "Is it the weather?," Research Paper ERS-2004-100-F&A Revision, Erasmus Research Institute of Management (ERIM), ERIM is the joint research institute of the Rotterdam School of Management, Erasmus University and the Erasmus School of Economics (ESE) at Erasmus Uni. [Downloadable!]
  3. David Hirshleifer & TYLER G. SHUMWAY, 2004. "Good Day Sunshine: Stock Returns and the Weather," Finance 0412004, EconWPA. [Downloadable!]
    Other versions:
  4. Jian Hu, 2008. "Does Weather Matter?," Departmental Working Papers 0809, Southern Methodist University, Department of Economics. [Downloadable!]
  5. Antonio Falato, 2008. "Happiness maintenance and asset prices," Finance and Economics Discussion Series 2008-19, Board of Governors of the Federal Reserve System (U.S.). [Downloadable!]
  6. Reinhold P. Lamb & Richard A. Zuber & John M. Gandar, 2004. "Don't lose sleep on it: a re-examination of the daylight savings time anomaly," Applied Financial Economics, Taylor and Francis Journals, vol. 14(6), pages 443-446, March. [Downloadable!] (restricted)
  7. J. Michael Pinegar, 2002. "Losing Sleep at the Market: Comment," American Economic Review, American Economic Association, vol. 92(4), pages 1251-1256, September. [Downloadable!]
  8. David L. Dickinson & Todd McElroy, 2009. "Naturally-occurring sleep choice and time of day effects on p-beauty contest outcomes," Working Papers 09-03, Department of Economics, Appalachian State University. [Downloadable!]
  9. Andrew Worthington, 2003. "Losing sleep at the market: An empirical note on the daylight saving anomaly in Australia," School of Economics and Finance Discussion Papers and Working Papers Series 146, School of Economics and Finance, Queensland University of Technology. [Downloadable!]
  10. Glenn Boyle & Brett Walter, 2003. "Reflected glory and failure: international sporting success and the stock market," Applied Financial Economics, Taylor and Francis Journals, vol. 13(3), pages 225-235, January. [Downloadable!] (restricted)
  11. Antonio Falato, 2003. "Happiness Maintenance and Asset Prices," Finance 0310003, EconWPA. [Downloadable!]
  12. Daniel S. Hamermesh & Caitlin Knowles Myers & Mark L. Pocock, 2006. "Time Zones as Cues for Coordination: Latitude, Longitude, and Letterman," NBER Working Papers 12350, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
    Other versions:
  13. Robert Chirinko & Hisham Foad, 2006. "Noise vs. News in Equity Returns," CESifo Working Paper Series CESifo Working Paper No. , CESifo Group Munich. [Downloadable!]
    Other versions:
  14. Andrew Worthington, 2003. "Business expectations and preferences regarding the introduction of daylight saving in Queensland," School of Economics and Finance Discussion Papers and Working Papers Series 145, School of Economics and Finance, Queensland University of Technology. [Downloadable!]
  15. Matthew J. Kotchen & Laura E. Grant, 2008. "Does Daylight Saving Time Save Energy? Evidence from a Natural Experiment in Indiana," NBER Working Papers 14429, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
  16. David L. Dickinson & Sean P.A. Drummond, 2006. "The Effects of Total Sleep Deprivation on Bayesian Updating," Working Papers 06-06, Department of Economics, Appalachian State University. [Downloadable!]
    Other versions:
  17. Douglas Steigerwald & Marc Conte, 2007. "Do Daylight-Saving Time Adjustments Really Impact Stock Returns?," University of California at Santa Barbara, Economics Working Paper Series 10-07, Department of Economics, UC Santa Barbara. [Downloadable!]
  18. Worthington, Andrew, 2004. "Business Expectations and Preferences Regarding the Introduction of Daylight Saving in Queensland," Economic Analysis and Policy (EAP), Queensland University of Technology (QUT), School of Economics and Finance, vol. 34(2), pages 145-62, September. [Downloadable!]
  19. Mark J. Kamstra & Lisa A. Kramer & Maurice D. Levi, 2002. "Losing Sleep at the Market: The Daylight Saving Anomaly: Reply," American Economic Review, American Economic Association, vol. 92(4), pages 1257-1263, September. [Downloadable!]
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