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      • Department of Economics
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      Effects of daylight savings time changes on stock market volatility

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      Author
      Berument, Hakan
      Dogan, N.
      Onar, Bahar
      Date
      2010
      Source Title
      Psychological Reports
      Print ISSN
      0033-2941
      Electronic ISSN
      1558-691X
      Publisher
      Sage Publications, Inc.
      Volume
      106
      Issue
      2
      Pages
      632 - 640
      Language
      English
      Type
      Article
      Item Usage Stats
      133
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      158
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      Abstract
      The presence of daylight savings time effects on stock returns and on stock volatility was investigated using an EGARCH specification to model the conditional variance. The evidence gathered from the major United States stock markets for the period between 1967 and 2007 did not support the existence of the daylight savings time effect on stock returns or on volatility. Returns on the first business day following daylight savings time changes were not lower nor was the volatility higher, as would be expected if there were an effect.
      Keywords
      Daylight saving time change
      Stock market volatility
      EGARCH models
      Statistics
      United States
      Permalink
      http://hdl.handle.net/11693/22373
      Published Version (Please cite this version)
      https://doi.org/10.2139/ssrn.1137082
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      • Department of Economics 649
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