Seasonal Affective Disorder & Stock Market Returns

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Seasonal
Winter Blues

Affective
Disorder
(SAD)

And
Stock Market
Returns

Purpose of Article
Article investigates
the role of seasonal affective disorder
(SAD)
in the seasonal time-variation
of stock market returns.

Authors document
a new seasonal pattern
in stock market returns
consistent with a time-varying risk premium
with depression due to seasonal variations
in the length of the day during the year.

What is SAD?
Seasonal affective disorder is clinically defined
as a form of major depressive disorder.
SAD is a type of depression that tends to occur
as the days grow shorter in the fall and winter.
Affected people react adversely to the
decreasing amounts of sunlight and the colder
temperatures as the fall and winter progress.

Selected Data
South Hemisphere





New Zealand
Japan
Australia
Africa

North Hemisphere





Sweden
Britain
Germany
United States

Selected Data

Selected Data
All 8 countries’ stock markets’ return
rates used for calculate mean and
standard deviation.
These return rates contains all years.

Selected Data

Methodology
 Quantitative Method
Returns data collected all years
 Analytical Method
Authors select only June 21st and
December 21st
for getting extreme contrast
 Mathematical Models

Statistical Results
Regression Analysis
within
Stock Markets

Returns at December 21st
South Hemisphere





New Zealand
Japan
Australia
Africa

TOTAL: 0,66 %

North Hemisphere





Sweden
Britain
Germany
United States

TOTAL: 0,57 %

Returns at June 21st
South Hemisphere





New Zealand
Japan
Australia
Africa

TOTAL: 0,34 %

North Hemisphere





Sweden
Britain
Germany
United States

TOTAL: 0,86 %

Results and Comments
 In this article supports the
existence of an important effect of
SAD on stock market returns
around the world.
 Even after removing tax-losses
results show SAD effect in every
northern country.

Results and Comments
Taken as a whole, the results in
article represent powerful
support for the role that daylight
plays in stock returns through its
impact on risk aversion through
the all of the year.

LIMITATION
Authors especially focused on two dates.
Which are December 21st and June 21st.
They are longest day or longest night at
hemispheres.
But if they choose exact seasonal passing
days results will be more contrast

LIMITATION
At 21st June is
Monday.
Monday Syndrome
could affect results

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