beware Monday

Doug Henwood dhenwood at panix.com
Fri Mar 31 19:30:41 PST 2000


"Losing Sleep at the Market: The Daylight-Savings Anomaly"

BY: MARK KAMSTRA

Simon Fraser University, Department of Economics

LISA A. KRAMER

Simon Fraser University, Department of Economics

MAURICE D. LEVI

University of British Columbia, Faculty of Commerce

and Business Administration

Division of Finance

Document: Available from the SSRN Electronic Paper Collection:

http://papers.ssrn.com/paper.taf?abstract_id=208623

Other Electronic Document Delivery:

http://kamstra.econ.sfu.ca/~kramer/daylight.ps

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Date: May 1999

Contact: MARK KAMSTRA

Email: Mailto:kamstra at sfu.ca

Postal: Simon Fraser University, Department of Economics

8888 University Drive

Burnaby, British Columbia V5A 1S6 CANADA

Phone: (604) 291-4514

Fax: (604) 291-5944

Co-Auth: LISA A. KRAMER

Email: Mailto:kramer at sfu.ca

Postal: Simon Fraser University, Department of Economics

8888 University Drive

Burnaby, British Columbia V5A 1S6 CANADA

Co-Auth: MAURICE D. LEVI

Email: Mailto:maurice.levi at commerce.ubc.ca

Postal: University of British Columbia, Faculty of Commerce and

Business Administration

Division of Finance

Henry Angus 865

2053 Main Mall

Vancouver, British Columbia V6T 1Z2 CANADA

ABSTRACT:

We explore the connection between equity returns and sleep

disruptions following daylight-savings time changes. In

international markets, the average Friday-to-Monday return on

daylight-savings weekends is markedly lower than expected, with

a magnitude 200 to 500 percent larger than the average negative

return for other weekends of the year. This ``daylight-savings

anomaly'' in financial markets is consistent with desynchronosis

research which has identified the effects of changes in sleep

patterns on judgment, anxiety, reaction time, problem solving

and accidents. This paper suggests sleep effects of

daylight-savings time changes may be impacting market

participants internationally.



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