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
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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.