Dr Antonios Siganos A.Siganos@napier.ac.uk
Professor
A novel measure of sleep based on Google: the case for financial markets
Siganos, Antonios
Authors
Abstract
We address in this study the issue of how to proxy sleep and explore sleep’s significance for financial markets. We employ daily Google search activity on sleepiness terms (e.g. sleep deprivation) to develop an index and find that a one-day lagged sleepiness index is related negatively to US stock market returns. When investors lack sleep, stock market returns are relatively low. This pattern could be explained by sleep deprivation causing an increased level of investor anxiety and risk aversion. We find that this relation is most pronounced on days with high uncertainty in the market. Sleep is negatively related to stock market returns even after controlling for sentiment. Overall, our results highlight the application of Google Trend in a new field showing that investors’ sleep patterns influence their investment decisions.
Citation
Siganos, A. (2021). A novel measure of sleep based on Google: the case for financial markets. European Journal of Finance, 27(12), 1151-1163. https://doi.org/10.1080/1351847x.2020.1857289
Journal Article Type | Article |
---|---|
Acceptance Date | Nov 23, 2020 |
Online Publication Date | Dec 8, 2020 |
Publication Date | 2021 |
Deposit Date | Jul 6, 2021 |
Journal | The European Journal of Finance |
Print ISSN | 1351-847X |
Electronic ISSN | 1466-4364 |
Publisher | Routledge |
Peer Reviewed | Peer Reviewed |
Volume | 27 |
Issue | 12 |
Pages | 1151-1163 |
DOI | https://doi.org/10.1080/1351847x.2020.1857289 |
Keywords | Sleep patterns, Google, Daylight saving time changes, stock market returns |
Public URL | http://researchrepository.napier.ac.uk/Output/2785025 |
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