Academics and practioners analysed equity returns, trying to link anomalous returns with a recurring period of time, this bore a new research area: the so called calendar anomalies, where we should mean as an anomaly any such event that could not be explained using the efficient market theory, or any other ordinary theory prevailing in finance literature. Once an anomaly as been identified, its effect tend to mitigate, since investors understand it and embed it in security prices, these are adjusted on the base of this now public information. Coming to specific anomalies, the most common ones are those concerning given year phases. This paper will focus on an anomaly that could be considered a special case of a perhaps much known one, the Monday effect, we will instead analyse the daylight saving effect, which happens on Monday as well, but only two times a year, that is when one hour saving is introduced (during spring) and when the same is suspended (during autumn), both the cases possibly affecting investors mood on the markets. The work will be departed into two sections: we first try to set the daylight saving effect against give the big framework of calendar anomalies treated by specialised literature in the last 20 year, thereafter we will assess the presence of this effect with reference to Italian market. In this case we will recur to an empirical analysis based on the Italian stock index COMIT for the period 1973-2003.