Losing Sleep at the Market: The Daylight-Savings Anomaly

By Mark J. Kamstra, E. Kramer, M. Levi. 2000

434 citations recorded by the source corpus.

View Paper: https://www.semanticscholar.org/paper/10af2cc671c80299fcbe0e1dc6c1243c2461858f

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Citations in the corpus

Good Day Sunshine: Stock Returns and the Weather (2003, background): “Kamstra, Kramer, and Levi (2000b) examines the e ects of seasonal shifts in length of day in 5 stock markets (including markets in both the Northern and Southern hemisphere).”
Mood fluctuations, projection bias, and volatility of equity prices (2002, unknown): “Kamstra et al. (1999) 5nd that changes in sleep patterns, induced by daylight-savings time changes, in$uence stock prices.”
Fast profits: Investor sentiment and stock returns during Ramadan (2012, unknown): “Dowling and Lucey (2005) and Kamstra et al. (2000) present international evidence that seasonal variations in biorhythms and disruptions in sleep caused by changing to and from daylight saving time affect stock returns.”
Robust global mood influences in equity pricing (2008, unknown): “The SAD variable takes a value according to the Kamstra et al. (2003) formula for periods between the Autumn Equinox and the Spring Equinox, and takes a value of 0 otherwise (this variable is called ‘SAD Winter’). To capture possible asynchronous effects of SAD between Autumn and Winter, a dummy var”
The Role of Feelings in Investor Decision-Making (2005, unknown): “In a further biorhythm study, Kamstra et al. (2000) investigate the effect of interruptions to sleep patterns caused by the Daylight Savings Time Changes (DSTCs) which occur twice a year, in Spring when clocks go forward an hour and in Autumn when clocks go back an hour.”
Stock market returns: A note on temperature anomaly (2005, background): “…nature-related variables and events such as the amount of sunshine (Saunders, 1993; Hirshleifer and Shumway, 2003), the daylight-savings time change (Kamstra et al., 2000), the length of the night (Kamstra et al., 2003), and the lunar phases of the moon (Dichev and Janes, 2001; Yuan et al., 2001).”
Exploitable Predictable Irrationality: The FIFA World Cup Effect on the U.S. Stock Market (2010, methodology): “This method is not only highly profitable 1 See, for example, Saunders (1993), Hirshleifer and Shumway (2003), Kamstra, Kramer, and Levi (2000, 2003, 2007), Frieder and Subrahmanyam (2004), Loughran and Schultz (2004), and Cao and Wei (2005).”
Does Daylight Saving Time Save Energy? Evidence from a Natural Experiment in Indiana (2008, unknown): “…2002; Coren 1996a, 1996b), health (e.g., Kantermann et al 2007), economic coordination (Hamermesh et al 2006), and stock market performance (Kamstra et al 2000, 2002; Pinegar 2002). which is among the most uniformly applied policies on the planet, has its intended effect of energy…”
Are Investors Moonstruck? - Lunar Phases and Stock Returns (2001, unknown): “On a general level, numerous psychological studies suggest that mood can affect human judgment and behavior (e.g., Schwarz and Bless, 1991; Frijda, 1998).”
Weather-Induced Mood, Institutional Investors, and Stock Returns (2015, unknown): “5 Accordingly, investor behavior may be subconsciously influenced by factors affecting mood unrelated to market information and may in turn impact financial market outcomes (Mehra and Sah 2002; BodohCreed 2013; Kamstra et al. 2014).6 The salience of cloud cover as a mood-priming device allows us to ”
Longitude matters: time zones and the location of foreign direct investment (2007, unknown): “In a related paper, Kamstra et al (2000) investigate the effect of daylight saving time changes on equity returns.”
War and stock markets: The effect of World War Two on the British stock market (2015, background): “…seemingly economically unimportant events having been shown to have a significant effect on stock returns, such as cloud cover, (Saunders 1993) daylight (Kamstra et al 2000; 2003), sunshine (Hirshleifer and Shumway 2003), temperature (Cao and Wei 2005) and even sports results (Edmans et al 2007).”
Behavioural Finance: A Review and Synthesis (2007, unknown): “C© 2007 The Author Journal compilation C© 2007 Blackwell Publishing Ltd, 2007 Kamstra et al. (2000) document that returns around the weekend of the switch to standard time from daylight savings time are very negative, and suggest that induced depression from the switch amongst investors suffused…”
Weather and intraday patterns in stock returns and trading activity (2008, unknown): “Kamstra et al. (2000) investigate the effect of sleep desynchronosis caused by daylight saving time changes on stock returns.”
Sports Sentiment and Stock Returns (2007, background): “This test is motivated by Pinegar (2002), who shows that the clock change results of Kamstra, Kramer, and Levi (2000) are sensitive to outliers in their data.”