Losing Sleep At The Market: An Empirical Note On The Daylight Saving Anomaly In Australia
Worthington, Andrew C. (2003) Losing Sleep At The Market: An Empirical Note On The Daylight Saving Anomaly In Australia. Economic Papers, 22(4), pp. 83-93.
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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|Item Type:||Journal Article|
|Keywords:||Daylight saving time, daylight saving effect, weekend effect, market anomalies|
|Subjects:||Australian and New Zealand Standard Research Classification > ECONOMICS (140000) > APPLIED ECONOMICS (140200) > Financial Economics (140207)
Australian and New Zealand Standard Research Classification > COMMERCE MANAGEMENT TOURISM AND SERVICES (150000) > BANKING FINANCE AND INVESTMENT (150200) > Finance (150201)
|Divisions:||Current > QUT Faculties and Divisions > QUT Business School|
|Copyright Owner:||Copyright 2003 Economics Society of Australia|
|Deposited On:||14 Nov 2005 00:00|
|Last Modified:||05 Jan 2011 13:25|
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