Berument, Hakan; Doga, Nukhet
December 2011
Psychological Reports;Dec2011, Vol. 109 Issue 3, p853
Academic Journal
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.


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