Losing Sleep at the Market: The Daylight Saving Anomaly
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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Volume (Year): 90 (2000)
Issue (Month): 4 (September)
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- Lakonishok, Josef & Levi, Maurice, 1982. " Weekend Effects on Stock Returns: A Note," Journal of Finance, American Finance Association, vol. 37(3), pages 883-889, June.
- 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.
- Lisa A. Kramer & Mark J. Kamstra & 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.
- 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.
- 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 169-177, Fall.
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- 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 1603-1614, December.
- Peter C. Eisemann & Stephen G. Timme, 1984. "Intraweek Seasonality In The Federal Funds Market," Journal of Financial Research, Southern Finance Association;Southwestern Finance Association, vol. 7(1), pages 47-56, 03.
- 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.
- 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.
- 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.
- Maurice D. Levi, 1978. "The Weekend Game: Clearing House vs Federal Funds," Canadian Journal of Economics, Canadian Economics Association, vol. 11(4), pages 750-757, November.
- 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 231-243, March. Full references (including those not matched with items on IDEAS)
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