The Effects of Daylight Saving Time Changes on Stock Market Volatility

Abstract

This study investigates the presence of the Daylight Saving Time change effects on stock returns and on stock volatility using an EGARCH specification to model the conditional variance. The evidence gathered from the major US stock markets for the period between 1967 and 2007 does support the existence of the Daylight Saving Time effect neither in stock returns and nor in volatility. Thus, this paper supports the argument made by Pinegar (2002) on the non-existence of the daylight saving effects on the stock market returns.