Effects of daylight savings time changes on stock market volatility.
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.
Department of Economics, Bilkent University, Ankara 06533, Turkey. berument@bilkent.edu.tr
M Hakan
MH
Berument
Nukhet
N
Dogan
Bahar
B
Onar
D001519:Behavior / Q000502:physiology*; D006801:Humans; D007449:Investments / Q000706:statistics & numerical data*; D010507:Periodicity; D014481:United States