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Losing sleep at the market: An empirical note on the daylight saving anomaly in Australia: Discussion Paper No. 146

Worthington, Andrew C. (2003) Losing sleep at the market: An empirical note on the daylight saving anomaly in Australia: Discussion Paper No. 146. [Working Paper] (Unpublished)

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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410 since deposited on 20 Aug 2004
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ID Code: 372
Item Type: Working Paper
Keywords: market anomalies, daylight saving effect, weekend effect, daylight saving
ISSN: 1324-5910
Subjects: Australian and New Zealand Standard Research Classification > ECONOMICS (140000)
Divisions: Current > QUT Faculties and Divisions > QUT Business School
Copyright Owner: Copyright 2003 (please consult author)
Deposited On: 20 Aug 2004
Last Modified: 05 Jan 2011 23:23

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