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Losing Sleep At The Market: An Empirical Note On The Daylight Saving Anomaly In Australia

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  • ANDREW C. WORTHINGTON

Abstract

The ‘daylight saving effect’ predicts that the mean weekend return following the spring and fall/autumn changes in daylight saving time is less than the mean weekend return throughout the rest of the year. With this market anomaly, the change in market participants’ behaviour is linked with sleep desynchronosis and the change in circadian rhythm and its negative impact on sleep patterns. This study investigates the purported daylight saving effect in Australian equity market returns over the period 1979/80-2002/03 using parametric testing and regression analysis. After adjustments are made for heteroskedasticity and autocorrelation in the data, neither the transition to nor the movement from daylight saving is associated with returns that differ from other days. The results also show the absence of any significant weekend effect in the Australian equity market.
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Suggested Citation

  • Andrew C. Worthington, 2003. "Losing Sleep At The Market: An Empirical Note On The Daylight Saving Anomaly In Australia," Economic Papers, The Economic Society of Australia, vol. 22(3), pages 85-95, September.
  • Handle: RePEc:bla:econpa:v:22:y:2003:i:3:p:85-95
    DOI: j.1759-3441.2003.tb01128.x
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    Cited by:

    1. Andrew Worthington, 2009. "An Empirical Note on Weather Effects in the Australian Stock Market," Economic Papers, The Economic Society of Australia, vol. 28(2), pages 148-154, June.
    2. 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.
    3. Hugo Salas & Pedro Ignacio Hancevic, 2023. "The unexpected effects of daylight-saving time: Traffic accidents in Mexican municipalities," EconoQuantum, Revista de Economia y Finanzas, Universidad de Guadalajara, Centro Universitario de Ciencias Economico Administrativas, Departamento de Metodos Cuantitativos y Maestria en Economia., vol. 20(1), pages 1-29, Enero-Jun.
    4. Jonathan James, 2023. "Let there be light: Daylight saving time and road traffic collisions," Economic Inquiry, Western Economic Association International, vol. 61(3), pages 523-545, July.
    5. 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).

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