Effects of daylight-saving time changes on stock market volatility: a comment

In a recent article in this journal, Berument, Dogan, and Onar (2010) challenged the existence of the previously documented daylight-saving effect. Kamstra, Kramer, and Levi's original finding (2000) was that average stock market returns on Mondays following time changes are economically and statistically significantly lower than typical Monday returns. Kamstra, et al. hypothesized that the effect may arise due to heightened anxiety or risk aversion on the part of market participants after they experience a 1-hr. disruption in their sleep habits, in accordance with prior findings in the psychology literature linking sleep desynchronosis with anxiety. Berument, et al. replicated the original findings using ordinary least squares estimation, but when they modeled the mean of returns using a method prone to producing biased estimates, they obtained puzzling results. The analysis here, based on standard, unbiased modeling techniques, shows that the daylight-saving effect remains intact in the U.S.