Effects of daylight savings time changes on stock market volatility

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buir.contributor.authorBerument, Hakan
dc.citation.epage640en_US
dc.citation.issueNumber2en_US
dc.citation.spage632en_US
dc.citation.volumeNumber106en_US
dc.contributor.authorBerument, Hakanen_US
dc.contributor.authorDogan, N.en_US
dc.contributor.authorOnar, Baharen_US
dc.date.accessioned2016-02-08T09:59:16Z
dc.date.available2016-02-08T09:59:16Z
dc.date.issued2010en_US
dc.departmentDepartment of Economicsen_US
dc.description.abstractThe 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.en_US
dc.description.provenanceMade available in DSpace on 2016-02-08T09:59:16Z (GMT). No. of bitstreams: 1 bilkent-research-paper.pdf: 70227 bytes, checksum: 26e812c6f5156f83f0e77b261a471b5a (MD5) Previous issue date: 2010en
dc.identifier.doi10.2139/ssrn.1137082en_US
dc.identifier.eissn1558-691X
dc.identifier.issn0033-2941
dc.identifier.urihttp://hdl.handle.net/11693/22373
dc.language.isoEnglishen_US
dc.publisherSage Publications, Inc.en_US
dc.relation.isversionofhttps://doi.org/10.2139/ssrn.1137082en_US
dc.source.titlePsychological Reportsen_US
dc.subjectDaylight saving time changeen_US
dc.subjectStock market volatilityen_US
dc.subjectEGARCH modelsen_US
dc.subjectStatisticsen_US
dc.subjectUnited Statesen_US
dc.titleEffects of daylight savings time changes on stock market volatilityen_US
dc.typeArticleen_US

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