TEAM
The Effects of Daylight Savings on Market Outcomes
Gabriela Huckabee, Shamuel Auyeung, Hava Schwartz
The aim of this project is to answer the following questions:
- Broadly, how does Daylight Savings impact markets?
- Specifically, how are the markets of Arizona and Hawaii (two states that do not observe DLS) impacted? How are other countries who don’t observe Daylight Savings impacted, such as Japan and China? These markets can be compared to the DST-observing American states, Canada, and European countries.
- How does this trend vary when refining by sector; e.g. agriculture vs. tech?
Some of these questions were studied in September 2000 in an American Economic Review article, and this study remains the most influential study of DST on financial markets to date, despite the meteoric rise of algorithmic trading, 20+ years of new data, and the rise of machine learning in data analysis. In 2007, there was academic discourse between the original team of the 2000 study, Kamstra, Kramer, & Levi, and a team in Turkey (Berument, Dogan, & Onar) over the validity of the original study and whether or not the DST effect on markets is statistically significant. With how globalization, technology, and policies have changed over the past quarter century, these questions are worth revisiting.
Stakeholders:
- Anyone who has ever had their sleep patterns impacted by daylight savings
- Anyone doing/impacted by trade such as individuals, companies, hedge fund managers
- Policy makers: many states have proposed changing daylight savings (and Arizona and Hawaii don’t observe it at all) but also some attempts have been made to get rid of time changes entirely.
Key Performance Indicators (can use standard kinds of metrics):
- Reproduction of the 2000 study results when using older data
- Predict what happens this year (2024) in November when daylight savings ends.
- Explain market trends in the past that may have been impacted by daylight savings
Datasets (all are time series, with data for daily open/close/high/low, going back to at least 1992, usually further):
Center for Research in Security Prices (individuals cannot access, need institutional access), European University Institute, Nikkei Stock Exchange, Shanghai Stock Exchange, WSJ