Daylight saving effect

Luisa Müller, Dirk Schiereck, Marc W. Simpson and Christian Voigt

Journal of Multinational Financial Management, 2009, vol. 19, issue 2, 127-138

Abstract: Kamstra et al. [Kamstra, M.J., Kramer, L.A., Levi, M.D., 2000. Losing sleep at the market: the daylight saving anomaly. The American Economic Review 90, 1005-1011] argue that the mean weekend return following the changes in daylight saving time is less than the mean weekend return throughout the rest of the year. Opposing studies, such as Pinegar [Pinegar, J.M., 2002. Losing sleep at the market: comment. The American Economic Review 92, 1251-1256), reason that the observed results depend upon methodology. We extend the ongoing discussions by providing further evidence for equity markets and bond markets in Germany and across Europe. We further demonstrate that the daylight saving effect does not serve as a potential rationale for the weekend effect.

Keywords: Daylight; saving; time; Daylight; saving; effect; Weekend; effect; Market; anomalies (search for similar items in EconPapers)
Date: 2009
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Citations: View citations in EconPapers (6)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:mulfin:v:19:y:2009:i:2:p:127-138

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