IDEAS home Printed from https://ideas.repec.org/a/taf/eurjfi/v27y2021i12p1151-1163.html
   My bibliography  Save this article

A novel measure of sleep based on Google: the case for financial markets

Author

Listed:
  • Antonios Siganos

Abstract

We address in this study the issue of how to proxy sleep and explore sleep’s significance for financial markets. We employ daily Google search activity on sleepiness terms (e.g. sleep deprivation) to develop an index and find that a one-day lagged sleepiness index is related negatively to US stock market returns. When investors lack sleep, stock market returns are relatively low. This pattern could be explained by sleep deprivation causing an increased level of investor anxiety and risk aversion. We find that this relation is most pronounced on days with high uncertainty in the market. Sleep is negatively related to stock market returns even after controlling for sentiment. Overall, our results highlight the application of Google Trend in a new field showing that investors’ sleep patterns influence their investment decisions.

Suggested Citation

  • Antonios Siganos, 2021. "A novel measure of sleep based on Google: the case for financial markets," The European Journal of Finance, Taylor & Francis Journals, vol. 27(12), pages 1151-1163, August.
    • Handle: RePEc:taf:eurjfi:v:27:y:2021:i:12:p:1151-1163
    DOI: 10.1080/1351847X.2020.1857289
    as

    Download full text from publisher

    File URL: http://hdl.handle.net/10.1080/1351847X.2020.1857289
    Download Restriction: Access to full text is restricted to subscribers.
    File URL: https://libkey.io/10.1080/1351847X.2020.1857289?utm_source=ideas
    LibKey link: if access is restricted and if your library uses this service, LibKey will redirect you to where you can use your library subscription to access this item
    ---><---

    As the access to this document is restricted, you may want to search for a different version of it.

    More about this item

    Statistics

    Access and download statistics

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:taf:eurjfi:v:27:y:2021:i:12:p:1151-1163. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    We have no bibliographic references for this item. You can help adding them by using this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Chris Longhurst (email available below). General contact details of provider: http://www.tandfonline.com/REJF20 .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.