Losing Sleep at the Market: The Daylight-Savings Anomaly

Mark Kamstra (), Lisa Kramer and Maurice Levi

Discussion Papers from Department of Economics, Simon Fraser University

Abstract: 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.

Keywords: STOCK; MARKET (search for similar items in EconPapers)
JEL-codes: G14 (search for similar items in EconPapers)
Pages: 13 pages
Date: 1998
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Citations: View citations in EconPapers (23)

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Journal Article: Losing Sleep at the Market: The Daylight Saving Anomaly (2000)
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