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

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  • 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
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    References listed on IDEAS

    as
    1. 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.
    2. repec:bla:jfinan:v:43:y:1988:i:5:p:1285-86 is not listed on IDEAS
    3. 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.
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    Cited by:

    1. 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.
    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. 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).
    4. 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.

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