A Matt Levine Effect? – Bloomberg

… This is enough of a thing that people sometimes joke on Twitter about buying index options whenever I write “Money Stuff will be off tomorrow,” on the theory that the market gods always get up to something crazy whenever I try to take a day off.

Naturally someone did a backtest and turns out it’s a bad idea (not investing advice!). Here is “A Matt Levine Effect?” by Paul Connell, William Fallon and Nicholas Foretek, on SSRN and everything:

This paper constructs a novel dataset to explore whether Matt Levine’s vacation drives market volatility as suggested by readers and Levine himself. It finds that contrary to expectations, Levine’s vacations have an (almost) statistically significant effect in the opposite direction: decreasing market volatility. This paper provides a series of potential explanations for this observed market reaction.

Source: A Matt Levine Effect? – Bloomberg