Losing sleep at the market: An empirical note on the daylight saving anomaly in Australia

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C. Worthington, Andrew
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2003
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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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Economic Papers

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22

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4

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© 2003 Economic Society of Australia QLD Inc. This is the author-manuscript version of this paper. Reproduced in accordance with the copyright policy of the publisher. Published by Blackwell Publishing Ltd. Please refer to the publisher's website for access to the definitive, published version.

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Applied Economics

Banking, Finance and Investment

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