IDEAS home Printed from https://ideas.repec.org/a/bla/econpa/v22y2003i4p83-93.html
   My bibliography  Save this article

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

Author

Listed:
  • 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.
(This abstract was borrowed from another version of this item.)
(This abstract was borrowed from another version of this item.)
(This abstract was borrowed from another version of this item.)
(This abstract was borrowed from another version of this item.)
(This abstract was borrowed from another version of this item.)
(This abstract was borrowed from another version of this item.)
(This abstract was borrowed from another version of this item.)
(This abstract was borrowed from another version of this item.)
(This abstract was borrowed from another version of this item.)
(This abstract was borrowed from another version of this item.)
(This abstract was borrowed from another version of this item.)
(This abstract was borrowed from another version of this item.)
(This abstract was borrowed from another version of this item.)
(This abstract was borrowed from another version o
(This abstract was borrowed from another version of this item.)

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(4), pages 83-93, December.
    • Handle: RePEc:bla:econpa:v:22:y:2003:i:4:p:83-93
    DOI: j.1759-3441.2003.tb01136.x
    as

    Download full text from publisher

    File URL: http://hdl.handle.net/10.1111/j.1759-3441.2003.tb01136.x
    Download Restriction: Access to full text is restricted to subscribers.
    File URL: https://libkey.io/j.1759-3441.2003.tb01136.x?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 look for a different version below or search for a different version of it.

    Other versions of this item:

    Citations

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


    Cited by:

    1. 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.
    2. 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.
    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. 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.
    5. 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.

    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:bla:econpa:v:22:y:2003:i:4:p:83-93. 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.

    We have no bibliographic references for this item. You can help adding them by using 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: Wiley Content Delivery (email available below). General contact details of provider: https://edirc.repec.org/data/esausea.html .

    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.