2012
DOI: 10.1016/j.jbankfin.2011.10.010
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A careful re-examination of seasonality in international stock markets: Comment on sentiment and stock returns

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Cited by 44 publications
(18 citation statements)
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“…They conjecture that the sleep disruption induced by a changing of the clock (known to sleep experts as a desynchronosticity in circadian rhythm) causes market participants to suffer greater anxiety, ultimately leading them to shun risk during the trading day following a time change. Kamstra, et al (2003) and Kamstra, Kramer and Levi (2012), amongst others, document a relation between seasonal affective disorder (SAD) and stock market cycles. Relying on the established psychological links between reduced daylight hours and depression, and between depression and risk aversion, these authors present evidence that reduced daylight hours help to explain lower returns in winter months.…”
Section: Seasonal Variations and Financial Market Participantsmentioning
confidence: 99%
“…They conjecture that the sleep disruption induced by a changing of the clock (known to sleep experts as a desynchronosticity in circadian rhythm) causes market participants to suffer greater anxiety, ultimately leading them to shun risk during the trading day following a time change. Kamstra, et al (2003) and Kamstra, Kramer and Levi (2012), amongst others, document a relation between seasonal affective disorder (SAD) and stock market cycles. Relying on the established psychological links between reduced daylight hours and depression, and between depression and risk aversion, these authors present evidence that reduced daylight hours help to explain lower returns in winter months.…”
Section: Seasonal Variations and Financial Market Participantsmentioning
confidence: 99%
“…Second, the onset/recovery variable spans the full year, whereas Kamstra et al's (2003) length-of-night variable takes on nonzero values during the fall and winter months only and, therefore, does not account for the portion of individuals who experience seasonal depression earlier than fall or later than winter. (For a more complete discussion of the merits of the onset/recovery variable relative to Kamstra et al's (2003) original specification, see Kamstra, Kramer, and Levi (2012)). In light of these points, we conduct our analysis using the onset/recovery variable.…”
Section: Measuring Seasonal Variation In Risk Preferencementioning
confidence: 99%
“…For example, the sale of ice cream could reach a peak during the summer and a valley in the winter. Such pattern can be widely found in finance [23], economy, medicine [31] and other fields. Understanding the cyclic pattern of a collection of time series is informative particularly in the context of co-movement patterns.…”
Section: Seasonal Modelmentioning
confidence: 85%