Losing Sleep at the Market: The Daylight Saving Anomaly: Reply

By Mark J. Kamstra, Lisa A. Kramer, Maurice D. Levi. 2000

110 citations recorded by the source corpus.

Subfields: Economics and Econometrics

View Paper: https://www.semanticscholar.org/paper/b981bdc40f1cde749a31e162a3a35e473fa85e39

Citations in the corpus

• 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.”
• Weather-Induced Mood, Institutional Investors, and Stock Returns (2015, unknown): “Kamstra, Kramer, and Levi (2000) document anomalous stock index returns patterns around daylight saving weekends in the United States, the United Kingdom, and Germany.”
• Mood fluctuations, projection bias, and volatility of equity prices (2002, unknown): “(b) The etiology of these $uctuations, 2 Kamstra et al. (2000) show that the reduced length of the day during winters has an impact on stock prices.”
• Weather and intraday patterns in stock returns and trading activity (2008, unknown): “We also control for day-of-the-week and month-of-the-year effects (Cross, 1973; Smirlock and Starks, 1986; Thaler, 1987a,b), effect of daylight saving time changes in the fall and spring ( Kamstra et al., 2000 ), and the intraday trading session effect.”
• Does Daylight Saving Time Save Energy? Evidence from a Natural Experiment in Indiana (2008, unknown): “, Kante rmann et al 2007), economic coordination (Hamermesh et al 20 06), and stock market performance (Kamstra et al 20 00, 2002; Pinegar 2002).”
• Role of Speculative Short Sales in Price Formation: The Case of the Weekend Effect (2003, unknown): “…biases in prices (Keim and Stambaugh); timing of corporate releases after Friday’s close (Damodaran (1989)); reduced institutional trading and greater individual trading on Mondays (Lakonishok and Maberly (1990)); daylight savings for two weekends a year (Kamstra, Kramer, and Levi (2000)); etc.”
• Investor Psychology in Capital Markets: Evidence and Policy Implications (2001, unknown): “Kamstra, Kramer, and Levi (2000a) find that changes to and from daylight savings time, which disrupts sleep, affects stock returns.27 Cloud cover in New York is associated with low daily US stock market returns Saunders (1993).”
• Does the Weather Affect Stock Market Volatility (2010, unknown): “…which have been considered in the financial literature as mood-proxies include, among others, temperature (e.g., Cao and Wei, 2005), daylight savings time changes (see, e.g., Kamstra et al., 2000) and the ‘Seasonal Affective Disorder’ (SAD, see, e.g., Kamstra et al., 2003; Garrett et al., 2005).”
• 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.”
• Are Investors Moonstruck? - Lunar Phases and Stock Returns (2001, unknown): “In another study, Kamstra et al. (2000) relate yearly daylight fluctuations to mood changes and in turn to stock market returns.”
• Rain or Shine: Where is the Weather Effect? (2005, unknown): “Our findings that individual investor behaviour is not influenced by the absolute sky cover also offers implications to Kamstra et al. (2002), who argue that a seasonality factor may influence investor risk aversion and stock market returns.”