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Daylight saving effect

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Author Info

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

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    Bibliographic Info

    Article provided by Elsevier in its journal Journal of Multinational Financial Management.

    Volume (Year): 19 (2009)
    Issue (Month): 2 (April)
    Pages: 127-138

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    Handle: RePEc:eee:mulfin:v:19:y:2009:i:2:p:127-138

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    Web page: http://www.elsevier.com/locate/mulfin

    Related research

    Keywords: Daylight saving time Daylight saving effect Weekend effect Market anomalies;

    References

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    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. 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.
    3. Tim Bollerslev, 1986. "Generalized autoregressive conditional heteroskedasticity," EERI Research Paper Series EERI RP 1986/01, Economics and Econometrics Research Institute (EERI), Brussels.
    4. French, Kenneth R., 1980. "Stock returns and the weekend effect," Journal of Financial Economics, Elsevier, vol. 8(1), pages 55-69, March.
    5. Mark J. Kamstra & Lisa A. Kramer & Maurice D. Levi, 2002. "Losing Sleep at the Market: The Daylight Saving Anomaly: Reply," American Economic Review, American Economic Association, vol. 92(4), pages 1257-1263, September.
    6. J. Michael Pinegar, 2002. "Losing Sleep at the Market: Comment," American Economic Review, American Economic Association, vol. 92(4), pages 1251-1256, September.
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    Cited by:
    1. Mirza, Faisal Mehmood & Bergland, Olvar, 2011. "The impact of daylight saving time on electricity consumption: Evidence from southern Norway and Sweden," Energy Policy, Elsevier, vol. 39(6), pages 3558-3571, June.

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