Effects of Daylight Saving Time Changes on Stock Market Volatility

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Dados Bibliográficos

ID13670366
AutoresHakan Berument (0000-0003-2276-4741, Bilkent University, autor correspondente), Nükhet Doğan (0000-0002-2115-1807, Gazi University)
Ano2011
Volume109
Fascículo3
Páginas863-878
Data de publicação2011-12-01
Peer ReviewedSim
Open AccessSim
TipoARTICLE
PeriódicoPsychological Reports (JOURNAL)
Identificadores do periódicoISSN: 0033-2941 • E-ISSN: 1558-691X
EditoraSAGE Publishing (PUBLISHER • US)
DOI10.2466/13.17.pr0.109.6.863-878
PMID22420117
OpenAlexW2124408169
IdiomaEN
Referências citadas56

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