Losing Sleep at the Market: The Daylight-Savings 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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- Kamstra, M.J. & Kramer, L.A. & Levi, M.D., 1998.
"Losing Sleep at the Market: The Daylight-Savings Anomaly,"
dp98-04, Department of Economics, Simon Fraser University.
- 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.
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"Testing structural stability with endogenous break point: a size comparison of analytic and bootstrap procedures,"
93-11, Federal Reserve Bank of Philadelphia.
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- 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.
- 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.
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