Effects of Daylight Saving Time Changes on Stock Market Volatility
A Reply
Bibliographic Data
| ID | 13670366 |
|---|---|
| Authors | Hakan Berument (0000-0003-2276-4741, Bilkent University, corresponding author), Nükhet Doğan (0000-0002-2115-1807, Gazi University) |
| Year | 2011 |
| Volume | 109 |
| Issue | 3 |
| Pages | 863-878 |
| Publication date | 2011-12-01 |
| Peer Reviewed | Yes |
| Open Access | Yes |
| Type | ARTICLE |
| Venue | Psychological Reports (JOURNAL) |
| Journal identifiers | ISSN: 0033-2941 • E-ISSN: 1558-691X |
| Publisher | SAGE Publishing (PUBLISHER • US) |
| DOI | 10.2466/13.17.pr0.109.6.863-878 |
| PMID | 22420117 |
| OpenAlex | W2124408169 |
| Language | EN |
| References cited | 56 |
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
Affect (linguistics · Daylight · Econometrics · Economics · Empirical evidence · Financial economics · Geography · Monetary economics · Stock (firearms · Stock market · Stock market volatility · Volatility (finance · Financial Markets and Investment Strategies · Market Dynamics and Volatility · Monetary Policy and Economic Impact · Psychology
Conditional Heteroskedasticity in Asset Returns
Econometric Issues in the Analysis of Regressions with Generated Regressors
Equilibrium in a Capital Asset Market
An Intertemporal Capital Asset Pricing Model
Quasi-maximum likelihood estimation and inference in dynamic models with time-varying covariances
Expected stock returns and volatility
Estimation of an Asymmetric Stochastic Volatility Model for Asset Returns
Effects of Sleep Deprivation and Morningness-Eveningness Traits on Risk-Taking
Daylight saving time and motor vehicle crashes
Risk, Return, and Equilibrium
| Citation velocity | historical |
|---|---|
| Highly cited | No |