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 [Working Paper] (Unpublished)
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:||Working Paper|
|Keywords:||market anomalies, daylight saving effect, weekend effect, daylight saving|
|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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