A novel measure of sleep based on Google: the case for financial markets

Siganos, A. (2021) A novel measure of sleep based on Google: the case for financial markets. European Journal of Finance, 27(12), pp. 1151-1163. (doi: 10.1080/1351847X.2020.1857289)

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.

• Item Type: Articles
• Status: Published
• Refereed: Yes
• Glasgow Author(s) Enlighten ID: Siganos, Professor Antonios
• Authors: Siganos, A.
• College/School: College of Social Sciences > Adam Smith Business School > Accounting and Finance
• Journal Name: European Journal of Finance
• Publisher: Taylor and Francis
• ISSN: 1351-847X
• ISSN (Online): 1466-4364
• Published Online: 08 December 2020
• Copyright Holders: Copyright © 2020 Informa UK Limited, trading as Taylor and Francis Group
• First Published: First published in European Journal of Finance 27(12): 1151-1163
• Publisher Policy: Reproduced in accordance with the publisher copyright policy