IDEAS home Printed from https://ideas.repec.org/a/taf/apfiec/v14y2004i6p443-446.html
   My bibliography  Save this article

Don't lose sleep on it: a re-examination of the daylight savings time anomaly

Author

Listed:
  • Reinhold Lamb
  • Richard Zuber
  • John Gandar

Abstract

A recent study finds evidence of a new financial market anomaly linking daylight savings time changes with market returns - spring and fall daylight savings time weekends are typically followed by large negative returns - and that these returns are significantly lower than regular weekend average returns. The present study finds that neither the consistency nor the magnitude and statistical significance claimed for this anomaly survives serious scrutiny.

Suggested Citation

  • Reinhold Lamb & Richard Zuber & John Gandar, 2004. "Don't lose sleep on it: a re-examination of the daylight savings time anomaly," Applied Financial Economics, Taylor & Francis Journals, vol. 14(6), pages 443-446.
    • Handle: RePEc:taf:apfiec:v:14:y:2004:i:6:p:443-446
    DOI: 10.1080/09603100410001673676
    as

    Download full text from publisher

    File URL: http://www.tandfonline.com/doi/abs/10.1080/09603100410001673676
    Download Restriction: Access to full text is restricted to subscribers.
    File URL: https://libkey.io/10.1080/09603100410001673676?utm_source=ideas
    LibKey link: if access is restricted and if your library uses this service, LibKey will redirect you to where you can use your library subscription to access this item
    ---><---

    As the access to this document is restricted, you may want to search for a different version of it.

    References listed on IDEAS

    as
    1. Kolb, Robert W & Rodriguez, Ricardo J, 1987. "Friday the Thirteenth: 'Part VII'--A Note," Journal of Finance, American Finance Association, vol. 42(5), pages 1385-1387, December.
    2. Lisa A. Kramer & Mark J. Kamstra & Maurice D. Levi, 2000. "Losing Sleep at the Market: The Daylight Saving Anomaly," American Economic Review, American Economic Association, vol. 90(4), pages 1005-1011, September.
    3. repec:bla:jfinan:v:43:y:1988:i:5:p:1285-86 is not listed on IDEAS
    Full references (including those not matched with items on IDEAS)

    Citations

    Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
    as


    Cited by:

    1. Müller, Luisa & Schiereck, Dirk & Simpson, Marc W. & Voigt, Christian, 2009. "Daylight saving effect," Journal of Multinational Financial Management, Elsevier, vol. 19(2), pages 127-138, April.
    2. Kudela, Peter & Havranek, Tomas & Herman, Dominik & Irsova, Zuzana, 2020. "Does daylight saving time save electricity? Evidence from Slovakia," Energy Policy, Elsevier, vol. 137(C).
    3. Sadia Anjum, 2020. "Impact of market anomalies on stock exchange: a comparative study of KSE and PSX," Future Business Journal, Springer, vol. 6(1), pages 1-11, December.
    4. Mugerman, Yevgeny & Yidov, Orr & Wiener, Zvi, 2020. "By the light of day: The effect of the switch to winter time on stock markets," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 65(C).

    Most related items

    These are the items that most often cite the same works as this one and are cited by the same works as this one.
    1. Dimitrios Kourtidis & Željko Šević & Prodromos Chatzoglou, 2016. "Mood and stock returns: evidence from Greece," Journal of Economic Studies, Emerald Group Publishing Limited, vol. 43(2), pages 242-258, May.
    2. Christian Klein & Bernhard Zwergel & Sebastian Heiden, 2009. "On the existence of sports sentiment: the relation between football match results and stock index returns in Europe," Review of Managerial Science, Springer, vol. 3(3), pages 191-208, November.
    3. Kliger, Doron & Qadan, Mahmoud, 2019. "The High Holidays: Psychological mechanisms of honesty in real-life financial decisions," Journal of Behavioral and Experimental Economics (formerly The Journal of Socio-Economics), Elsevier, vol. 78(C), pages 121-137.
    4. Glenn Boyle & Andrew Hagan & R. Seini O'Connor & Nick Whitwell, 2004. "Emotion, fear and superstition in the New Zealand stockmarket," New Zealand Economic Papers, Taylor & Francis Journals, vol. 38(1), pages 65-85.
    5. Qadan, Mahmoud & Kliger, Doron, 2016. "The short trading day anomaly," Journal of Empirical Finance, Elsevier, vol. 38(PA), pages 62-80.
    6. Boyle, Glenn & Hagan, Andrew & O'Connor, R. Seini, 2004. "Emotion, Fear and Superstition in the New Zealand Stockmarket," Working Paper Series 18969, Victoria University of Wellington, The New Zealand Institute for the Study of Competition and Regulation.
    7. Dowling, Michael & Lucey, Brian M., 2005. "Weather, biorhythms, beliefs and stock returns--Some preliminary Irish evidence," International Review of Financial Analysis, Elsevier, vol. 14(3), pages 337-355.
    8. repec:vuw:vuwscr:18969 is not listed on IDEAS
    9. Daniel Kuehnle & Christoph Wunder, 2016. "Using the Life Satisfaction Approach to Value Daylight Savings Time Transitions: Evidence from Britain and Germany," Journal of Happiness Studies, Springer, vol. 17(6), pages 2293-2323, December.
    10. Jacobsen, Ben & Marquering, Wessel, 2008. "Is it the weather?," Journal of Banking & Finance, Elsevier, vol. 32(4), pages 526-540, April.
    11. Auer, Benjamin R. & Rottmann, Horst, 2014. "Is there a Friday the 13th effect in emerging Asian stock markets?," Journal of Behavioral and Experimental Finance, Elsevier, vol. 1(C), pages 17-26.
    12. Havranek, Tomas & Herman, Dominik & Irsova, Zuzana, 2016. "Does Daylight Saving Save Energy? A Meta-Analysis," MPRA Paper 74518, University Library of Munich, Germany.
    13. Tingqiu Cao & Xianhang Qian & Le Zhang, 2024. "The price of the slow lane: Traffic congestion and stock block trading premium," International Review of Finance, International Review of Finance Ltd., vol. 24(1), pages 30-52, March.
    14. Nicholas Apergis & Alexandros Gabrielsen & Lee Smales, 2016. "(Unusual) weather and stock returns—I am not in the mood for mood: further evidence from international markets," Financial Markets and Portfolio Management, Springer;Swiss Society for Financial Market Research, vol. 30(1), pages 63-94, February.
    15. Ender Demir, 2015. "Aviation Accidents and Stock Market Reaction: Evidence from Borsa Istanbul," Eurasian Journal of Economics and Finance, Eurasian Publications, vol. 3(1), pages 51-56.
    16. Joëts, Marc, 2015. "Heterogeneous beliefs, regret, and uncertainty: The role of speculation in energy price dynamics," European Journal of Operational Research, Elsevier, vol. 247(1), pages 204-215.
    17. Apergis, Nicholas & Gupta, Rangan, 2017. "Can (unusual) weather conditions in New York predict South African stock returns?," Research in International Business and Finance, Elsevier, vol. 41(C), pages 377-386.
    18. Kaplanski, Guy & Levy, Haim, 2010. "Exploitable Predictable Irrationality: The FIFA World Cup Effect on the U.S. Stock Market," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 45(2), pages 535-553, April.
    19. Kaustia, Markku & Rantapuska, Elias, 2013. "Does mood affect trading behavior?," SAFE Working Paper Series 4, Leibniz Institute for Financial Research SAFE.
    20. Konstantinos Drakos, 2009. "Big Questions, Little Answers: Terrorism Activity, Investor Sentiment and Stock Returns," Economics of Security Working Paper Series 8, DIW Berlin, German Institute for Economic Research.
    21. Seo, Sung Won & Kim, Jun Sik, 2015. "The information content of option-implied information for volatility forecasting with investor sentiment," Journal of Banking & Finance, Elsevier, vol. 50(C), pages 106-120.

    More about this item

    Statistics

    Access and download statistics

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:taf:apfiec:v:14:y:2004:i:6:p:443-446. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    If CitEc recognized a bibliographic reference but did not link an item in RePEc to it, you can help with this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Chris Longhurst (email available below). General contact details of provider: http://www.tandfonline.com/RAFE20 .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.