The Daylight Saving Time Anomaly in Stock Returns: Fact or Fiction?
32 Pages Posted: 3 Aug 2006 Last revised: 19 Jan 2009
Date Written: April 4, 2008
Abstract
We find no evidence of a Daylight Saving Time anomaly in stock returns based on empirical evidence from twenty-two stock markets around the world. Stock market returns on the days following a switch from or to Daylight Saving Time do not behave any differently from stock returns on any other day of the week or month. These results reject earlier conclusions in the literature -- based on far less data -- that investors' mood changes induced by changes in sleep patterns significantly affect stock returns
Keywords: Daylight Saving Time, Mood, International Stock Market Returns
Suggested Citation: Suggested Citation
Gregory-Allen, Russell B. and Jacobsen, Ben and Marquering, Wessel A., The Daylight Saving Time Anomaly in Stock Returns: Fact or Fiction? (April 4, 2008). Available at SSRN: https://ssrn.com/abstract=920986 or http://dx.doi.org/10.2139/ssrn.920986
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