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# Losing Sleep at the Market: The Daylight Saving Anomaly

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## Abstract

We explore the connection between equity returns and sleep disruptions following daylight-savings time changes. In international markets, the average Friday-to-Monday return on daylight-savings weekends is markedly lower than expected, with a magnitude 200 to 500 percent larger than the average negative return for other weekends of the year. This daylight-savings anomaly'' in financial markets is consistent with desynchronosis research which has identified the effects of changes in sleep patterns on judgment, anxiety, reaction time, problem solving and accidents. This paper suggests sleep effects of daylight-savings time changes may be impacting market participants internationally.
... Sleep researchers argue that sleeping disorder can affect people by destroying their motivation and causing them deep depression 2000: 1005. Even minor sleep imbalances lead people to make mistakes because of the errors in judgment, anxiety, impatience, less efficient processing of information, and loss of attention (Coren, 1996: 269). ...
... For example, traffic accidents have increased with sleeping disorder on the days following daylight saving time changes, when clocks are adjusted twice a year in the spring and fall 2000, Varughese and Allen;2001, Coren;1996a, 1996b. Kamstra, Kramer, and Levi (2000: 1005-1006 argue that stock market returns are also affected and expected to be lower on the first trading day following daylight saving time (DST) changes because of sleep desynchronosis. Because investors may not solve problems easily or reach rational decisions throughout the first trading days following a time change. ...
... Many studies have also attempted to investigate the effect of daylight saving time changes in different stock markets. Firstly, Kamstra, Kramer and Levi (2000) have described a new stock market anomaly and examined the existence of daylight saving time effect in US, UK, Canada and Germany between the periods from 1967 to 1997. They have found that daylight saving time changes affect the stock returns negatively at the first day following changes and these stocks exhibit lower returns than regular weekend returns. ...
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The aim of this study is to investigate the effect of "daylight saving time" (DST) changes on Borsa Istanbul, covering the periods from 1988 to 2015. In this context, daylight saving anomaly was examined by using stock market returns and volatilities following DST changes on daily and weekly basis. The results indicate that both market returns and volatilities following daylight saving time changes do not differ from other days and weeks. Thus, it can be said that there is no evidence of daylight saving time effect in Borsa Istanbul.
... Opponents of permanent DST argue that shifting the clock permanently forward may result in circadian misalignment and negative health effects as individuals will be forced to start their days before dawn during the winter months (Roenneberg et al. 2019a, Roenneberg et al. 2019b, Rishi et al. 2020. The body of research looking into the potential effects of DST on the economy, exercise, or energy costs have produced mixed results (Filliben et al. 1976, Kamstra et al. 2000, Belzer et al. 2008, Calandrillo and Buehler 2008, Hill et al. 2010, Rosenberg and Wood 2010, Kotchen and Grant 2011, Goodman et al. 2014, Zick 2014. While some findings indicate a benefit of permanent DST in these areas, other studies suggest little or even a detrimental effect. ...
... According to a poll by The Associated Press-NORC Center for Public Affairs Research, only 25% of Americans support continuing to use CTA (AP-NORC 2021). Despite mixed evidence or a lack of direct evidence that adopting permanent time arrangements in either direction would improve traffic safety, energy use, light exposure, or health outcomes, Americans do not seem to like CTA (Kamstra et al. 2000, Belzer et al. 2008, Calandrillo and Buehler 2008, Hill et al. 2010, Zick 2014, Carey and Sarma 2017, Roenneberg et al. 2019a, Skeldon and Dijk 2019, Bin-Hasan et al. 2020, Fritz et al. 2020, AP-NORC 2021, Bünnings and Schiele 2021. Given that American voters want to stop the bi-annual clock changes, then the least disruptive permanent time option would appear to be permanent ST. ...
... We mainly use the quantile regression model to study the effect of drought on the conditional distribution of industry stock prices. The weather-related literature reveals that climate factors can affect stock prices by influencing investor sentiment (Kamstra et al., 2000;Hirshleifer and Shumway, 2003;Kamstra et al., 2003;Lu and Chou, 2012;Schmittmann et al., 2015) and that investor sentiment can lead to asymmetric stock price reactions (Chen et al., 2013;Ni et al., 2015). Inspired by this earlier work, we introduce the threshold regression model and find a threshold effect of investor sentiment on the relationship between drought and industry stock prices. ...
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In this study, we examine the effect of drought on industry stock prices using a balanced panel of monthly data for 15 industries classified by China Securities Regulatory Commission in 2012. By combining the results of ordinary least squares (OLS) estimation and quantile regression models, we present a comprehensive evaluation of the relationship between drought and industry stock prices. The OLS regression results generally show that drought is negatively correlated with industry stock prices. However, quantile regression reveals that the effect of drought changes from positive to negative from the lowest to the highest stock price quantile. In addition, drought resistance capacity varies by industry. We further use threshold regression to determine the effects of investor sentiment on the relationship between drought and stock prices and identify two different regimes: low sentiment and high sentiment. In the low sentiment regime, drought has a significant negative effect on industry stock prices, while in the high sentiment regime, drought has a significant positive impact on industry stock prices.
... Kamstra et al. (Kamstra et al., 2003) found a correlation between stock returns and daylight hours (Garet et al., 2005) and attributed this effect to lowered mood resulting from seasonal affective disorder, a condition caused by lower levels of sunshine. In a related study, Kamstra M.J. et al (Kamstra et al., 2000) examined the effect of disturbed sleep patterns caused by changes to and from daylight saving time and found significantly lower returns following daylight saving time changes in the US, UK, Canada and German stock markets. Shu H.C. (Shu, 2010) showed that pleasant weather creates a good mood, inducing investors to optimise the stock market and vice versa. ...
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Many recent works indicate the existence of a significant relationship between weather factors such as pressure, humidity, windspeed, sum of falls or sunshine and rates of return for stocks quoted on stock exchange. A properly conducted econometric study requires a careful analysis of the properties of the factors that will be used in the econometric model to explain the development of the dependent variable. The aim of the research is to check if the weather factors could be used as econometric regressors by verifying their statistical propensities. The analysis was held on the weather stations located in eight cities in Poland: Poznan, Kolo, Plock, Warsaw, Wroclaw, Opole, Katowice and Rzeszow. These cities host registered offices of the biggest companies of the energy sector in Poland. The research methods were focused around basic statistics and normality tests of distributions of weather factors' (four types), as well as the autocorrelation of regressors.
... A much more limited set of studies address the problem of causal inference by exploiting 'natural experiments' (Nissenbaum et al., 2012;Gibson and Shrader, 2015) to study the cognitive, productivity, and self-reported health effects of exogenous shifts in sleep patterns. A popular approach has been to examine the effects of daylight savings time on cognitive ability, with the ensuing one hour of sleep deprivation (in April) or extension (in October) being linked to financial market fluctuations (Kamstra et al., 2000), traffic accidents (Ferguson et al., 1995;Sood and Ghosh, 2007), workplace injuries (Barnes and Wagner, 2009), and overall life satisfaction (Kountouris and Remoundou, 2014). For example, Gibson and Shrader (2015) provides causal estimates of the effects of sleep duration on wages using sunset time as an instrument. ...
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Numerous studies have linked sleep disruption to a variety of poor health outcomes, but social scientists still have a very limited understanding of the overall importance of sleep for health in the general population. Limitations on both the scope and duration of laboratory studies make it difficult to establish longer-term causal links, and potential reverse causality may significantly weaken causal inference with observational data. As a result there is little empirical evidence on the potential causal impact of commonly encountered urban noise-induced sleep disruption on health in otherwise healthy adults. Using a survey of Dutch adults, we contribute to the effort to investigate the causal relationship between self-reported sleep disruption and health by using individual-specific exposure to neighbor noise as an instrument for sleep disruption. We argue that neighbor noise is a relatively ex-ante unobservable exogenous shock, and we provide quantitative evidence that it fulfills the relevance, exogeneity, and exclusion restrictions for validity as an instrument. Consistent with theory, we find statistically and economically significant causal effects of sleep disruption on cardiovascular problems, auto-immune diseases such as arthritis and lung disease, and headache. The results survive a battery of robustness checks and highlight the importance of noise-related public policies.
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In diesem Kapitel werden verhaltensökonomische Prinzipien auf das Anlegerverhalten und speziell den Aktienmarkt angewendet, was wiederum in zahlreichen Tipps mündet – viele der Erkenntnisse von André Kostolany gelten auch heute noch. Schlechte Beratungsleistungen in Banken werden dabei ebenso thematisiert wie die Schwierigkeit, Börsenentwicklungen vorherzusagen, die vielfach vom Marktgeschehen losgelöst sind: Am Aktienmarkt muss man ein gewisses Maß an Irrationalität voraussetzen. Anleger unterliegen gewöhnlich einer Risikoaversion, was neben der Verlustaversion und Desaster-Myopie (die Erinnerung an einige Aktienmarktkrisen der Vergangenheit) immer schon dazu führt, dass die Chancen von Unternehmensanteilen nicht ausreichend genutzt werden – das Aktienprämienrätsel. Neben schädlicher Inaktivität beim Investitionsverhalten sind hektisches Umschichten von Depotpositionen und das Hereinfallen auf Spekulationsblasen gleichermaßen kontraproduktiv für den Anlageerfolg. Der Autor empfiehlt eine langfristig angelegte Investitionsstrategie mit gesunder Streuung anstelle von kurzfristiger Zockerei, denn Aktien als Abbild der Realwirtschaft entwickeln sich im größeren Zeithorizont (bisher) stets nach oben.
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This study assesses the potential of electricity conservation due to daylight saving time (DST) for the case of Pakistan by analyzing various geographical and seasonal factors connected with the working mechanism of DST. Graphical analysis of these factor has been employed in order to calculate potential benefits of DST. The analysis shows geographical location of Pakistan is suitable for DST implementation in Pakistan. The estimates of this study indicate electricity saving of 640 Megawatts. This potential conservation can save up to RS 3.5Billion.
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