Losing Sleep at the Market: The Daylight Saving Anomaly | Zendy

Mark J. Kamstra | Zendy; Lisa A. Kramer | Zendy; Maurice D. Levi | Zendy

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Losing Sleep at the Market: The Daylight Saving Anomaly

Author(s) -

Mark J. Kamstra,

Lisa A. Kramer,

Maurice D. Levi

Publication year - 2000

Publication title -

american economic review

Language(s) - English

Resource type - Journals

SCImago Journal Rank - 16.936

H-Index - 297

eISSN - 1944-7981

pISSN - 0002-8282

DOI - 10.1257/aer.90.4.1005

Subject(s) - anomaly (physics) , daylight , economics , sleep (system call) , economic history , keynesian economics , physics , astronomy , computer science , condensed matter physics , operating system

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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