Are Consumer Confidence Index and Asset Value Predication affected by the Number of Daylight hours?: Examination of the SAD (Seasonal Affective Disorder) Hypothesis

Author Name SEKIZAWA Yoichi (Senior Fellow, RIETI) / KONISHI Yoko (Senior Fellow, RIETI)
Creation Date/NO. October 2019 19-J-057
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There is a hypothesis in some areas of economics that price fluctuations of financial assets such as stocks are affected by a mood disorder called Seasonal Affective Disorder (SAD). According to this hypothesis, SAD, or the "winter blues," which occurs in autumn and winter with the shorter length of daylight, lead to an increase in risk aversion and bring about falling asset prices. This SAD hypothesis is controversial because, in addition to the criticisms within economics, some recent psychological research has claimed that seasonal mood change, which is the premise of the SAD hypothesis, is in fact non-existent. Against this background, we examined whether a seasonal fluctuation in support of the SAD hypothesis in economics is observed in Japan's consumer confidence index (CCI) and asset value predictions (AVP). Taking into account that previous studies found a negative correlation between consumer sentiment and mental health indicators, our secondary purpose was to verify the existence of SAD itself. Panel data at the household level from 2004 to 2018 was used for the analysis. From the results of the analysis, in both CCI and AVP, we found seasonal fluctuations with December at the lowest point and early summer at the highest. We also found that the higher the latitude, the larger the seasonal fluctuation was. This study supports the SAD hypothesis in economic phenomena and indirectly supports the existence of SAD itself.

Published: Sekizawa, Yoichi, and Yoko Konishi, 2021. "Are consumer confidence and asset value expectations positively associated with length of daylight?: An exploration of psychological mediators between length of daylight and seasonal asset price transitions," PLOS ONE, 16(1): 0245520.