THE DAYLIGHT SAVING TIME ANOMALY IN STOCK RETURNS: FACT OR FICTION?

Stock market returns in 22 markets around the world show no evidence of a daylight saving time effect. Returns on the days following a switch from or to daylight saving time do not behave any differently from stock market returns on any other day of the week or month. These results reject earlier conclusions in the literature—based on less data—that investors’ mood changes induced by changes in sleep patterns significantly affect stock returns.