The Daylight Saving Time Anomaly in Stock Returns: Fact or Fiction?

32 Pages Posted: 3 Aug 2006 Last revised: 19 Jan 2009

See all articles by Russell B. Gregory-Allen

Russell B. Gregory-Allen

Massey University - Department of Commerce

Ben Jacobsen

Tilburg University - TIAS School for Business and Society; Massey University

Wessel Marquering

Erasmus University Rotterdam (EUR) - Department of Financial Management

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

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

Russell B. Gregory-Allen (Contact Author)

Massey University - Department of Commerce ( email )

Auckland
New Zealand

Ben Jacobsen

Tilburg University - TIAS School for Business and Society ( email )

Warandelaan 2
TIAS Building
Tilburg, Noord Brabant 5037 AB
Netherlands

Massey University ( email )

Auckland
New Zealand

Wessel A. Marquering

Erasmus University Rotterdam (EUR) - Department of Financial Management ( email )

P.O. Box 1738
F4-26
Rotterdam 3000 DR
Netherlands
+31 10 408 2786 (Phone)
+31 10 408 9017 (Fax)

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