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Here's another scapegoat to blame for your financial losses: a lack of sunlight.

University researchers in Toronto say they have found that bond and stock markets move in conjunction with the seasons, partly because some market participants are affected by seasonal affective disorder.

SAD, a form of clinical depression that affects people in the fall and winter, makes investors more risk averse, the study suggests.

As a result, there's an increase in investors moving money out of equities and into less risky instruments such as Treasury bonds.

Mark Kamstra, a professor in York University's Schulich School of Business, said his latest studies of the bond market support earlier research, conducted with two colleagues, that showed seasonal movements in stock trading.

He said that original study - which contrasted stock-trading patterns in the Northern and Southern Hemispheres - "really irritated a lot of people" when it was published in 2003, so more research was planned to examine the findings.

In the latest study, the team analyzed 50 years of returns from U.S. Treasury bonds, and found that underlying seasonal movements were not related to business cycles or other macroeconomic factors.

There is a very persistent pattern in bond returns, Mr. Kamstra said. "It's quite a remarkable peak in September and October, and a decline right through to the late winter and early spring."

His explanation is that people with SAD alter their investment decisions when they get the first symptoms, selling equities and buying bonds to cut risk.

By the spring, when SAD disappears, the trend has reversed.

The 10 per cent of the population who suffer from SAD are enough to have an impact on the markets, he said, especially if you add in people who are affected in a more minor way by "winter blues."

This isn't simply irrational behaviour, Mr. Kamstra said. "It's behavioural finance, in the sense that it has to do with human emotion."

It is no different from other changes people make as a result of their state of mind, such as driving more carefully if they're feeling nervous, he said.

In many years, of course, there are external factors that overwhelm the seasonal movements of stocks and bonds, but, in general, the pattern persists, he said.

"In September, 2001, I don't think it was SAD that was pushing the markets around. There are big events that can really swamp things. But, honestly, I don't think it's a coincidence that most market crashes have occurred in October."

This effect could also help explain the aphorism, "Sell in May and go away." The theory suggests that by the spring, most people have recovered from their blues and equity prices have recovered, so it's good time to take profits.

The research study also looked at mutual fund trading, and found a similar pattern there.

More money shifted out of equity funds and into safer fixed asset funds in the fall, and the movement reversed in the late winter.

Mr. Kamstra said there needs to be follow-up research to confirm a direct connection between SAD and the markets.

He hopes to get funding to conduct interviews with individuals to ask them about their investing behaviour at various times of the year.