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.

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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.