Effects of Daylight Saving Time changes on stock market volatility: a reply
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Updated: May 24, 2026

Human Circadian Phenotyping and Diurnal Performance Testing in the Real World
Published on: April 7, 2020
1Department of Economics, Bilkent University, 06800 Ankara, Turkey. berument@bilkent.edu.tr
Abstract:
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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