Losing Sleep at the Market: An Empirical Note on the Daylight Saving Anomaly in Australia

(2003) Losing Sleep at the Market: An Empirical Note on the Daylight Saving Anomaly in Australia. Economic Papers, 22(4), pp. 83-93.

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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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ID Code: 2543
Item Type: Contribution to Journal (Journal Article)
Refereed: Yes
Measurements or Duration: 11 pages
Keywords: Daylight saving time, daylight saving effect, market anomalies, weekend effect
ISSN: 0812-0439
Pure ID: 34118771
Divisions: Past > QUT Faculties & Divisions > QUT Business School
Current > Schools > School of Economics & Finance
Copyright Owner: Consult author(s) regarding copyright matters
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Deposited On: 14 Nov 2005 00:00
Last Modified: 08 Feb 2025 21:28