Financial markets do not always adhere to the efficient market model, therefore investors can take advantage of market anomalies. In this paper we will analyse market imperfection related to particular dates or periods of the civil year. We will focus on one anomaly, the daylight savings effect, that could be considered a special case of the Monday effect. The daylight savings effect happens on Monday as well, but only twice a year: when a one-hour saving is introduced in Spring and when the same is suspended in Autumn. The work is divided into two sections: first, the daylight saving effect will be considered within the general context of calendar anomalies treated by specialised literature during the past 20 years; then the presence of this effect will be assessed with reference to the Italian market. To this end we will refer to an empirical analysis based on the Italian COMIT stock index for the 1973-2003 period.

Calendar Anomalies: Daylight Savings Effects

FASANO, ANTONIO;
2005-01-01

Abstract

Financial markets do not always adhere to the efficient market model, therefore investors can take advantage of market anomalies. In this paper we will analyse market imperfection related to particular dates or periods of the civil year. We will focus on one anomaly, the daylight savings effect, that could be considered a special case of the Monday effect. The daylight savings effect happens on Monday as well, but only twice a year: when a one-hour saving is introduced in Spring and when the same is suspended in Autumn. The work is divided into two sections: first, the daylight saving effect will be considered within the general context of calendar anomalies treated by specialised literature during the past 20 years; then the presence of this effect will be assessed with reference to the Italian market. To this end we will refer to an empirical analysis based on the Italian COMIT stock index for the 1973-2003 period.
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Utilizza questo identificativo per citare o creare un link a questo documento: https://hdl.handle.net/11386/1188858
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