The daylight saving time anomaly in stock returns: Fact or fiction?

Russell Gregory-Allen*, Ben Jacobsen, Wessel Marquering

*Corresponding author for this work

Research output: Contribution to journalArticlepeer-review

Abstract

Stock market returns in 22 markets around the world show no evidence of a daylight saving time effect. Returns on the days following a switch from or to daylight saving time do not behave any differently from stock market returns on any other day of the week or month. These results reject earlier conclusions in the literature-based on less data-that investors' mood changes induced by changes in sleep patterns significantly affect stock returns.

Original languageEnglish
Pages (from-to)403-427
Number of pages25
JournalJournal of Financial Research
Volume33
Issue number4
DOIs
Publication statusPublished - 1 Dec 2010

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