Effects of daylight saving time changes on stock market volatility: a reply

Date
2011
Advisor
Supervisor
Co-Advisor
Co-Supervisor
Instructor
Source Title
Psychological Reports
Print ISSN
0033-2941
Electronic ISSN
1558-691X
Publisher
Sage Publications, Inc.
Volume
109
Issue
3
Pages
863 - 878
Language
English
Type
Article
Journal Title
Journal ISSN
Volume Title
Series
Abstract

There is a rich array of evidence that suggests that changes in sleeping patterns affect an individual's decision-making processes. A nationwide sleeping-pattern change happens twice a year when the Daylight Saving Time (DST) change occurs. Kamstra, Kramer, and Levi argued in 2000 that a DST change lowers stock market returns. This study presents evidence that DST changes affect the relationship between stock market return and volatility. Empirical evidence suggests that the positive relationship between return and volatility becomes negative on the Mondays following DST changes.

Course
Other identifiers
Book Title
Keywords
Traffic accidents, Return trade-off, Sleep-deprivation, Asset returns, Losing sleep, International evidence, Risk, Prices, Equilibrium, Models
Citation
Published Version (Please cite this version)