EFFECTS OF DAYLIGHT SAVINGS TIME CHANGES ON STOCK MARKET VOLATILITY


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BERUMENT M. H. , Dogan N., Onar B.

PSYCHOLOGICAL REPORTS, cilt.106, sa.2, ss.632-640, 2010 (SSCI İndekslerine Giren Dergi) identifier identifier identifier

  • Yayın Türü: Makale / Tam Makale
  • Cilt numarası: 106 Konu: 2
  • Basım Tarihi: 2010
  • Doi Numarası: 10.2466/pr0.106.2.632-640
  • Dergi Adı: PSYCHOLOGICAL REPORTS
  • Sayfa Sayıları: ss.632-640

Özet

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.