l just bought a '92 Volvo 940 Turbo.It is been very cold here the past few days, so I am not sure if it is the cold causing the problem or an electrical issue or what.When l start the car, the orange arrow indicator in the instrument cluster is on, indicating 4th gear is disengaged.l put the car in Drive and as soon as l step on the gas, the orange arrow indicator goes off.It does not do this in Reverse, only Drive.The car is shifting properly in all 4 gears.Why might the light come on when l start the car and go off as soon as l step on the gas?
Once l step on the gas (with trans in D), the arrow light goes off and the overdrive button works like it should engaging and disengaging 4th.

The overdrive relay that controls the arrow indicator is very problematic. Once the light goes off, does the button on the gearshift operate the light/overdrive correctly?

Most likely the overdrive relay is the culprit.Drive on freeway & press the overdrive button on shifter level.This should downshift trans. to third gear & u will notice the engine rpm will increase.Press button again (arrow lite off)and trans. will up shift to 4th(overdrive).This is a simple test to verify overdrive function.But if the arrow shift indicator lite works intermittently then relay is definite problem.Relay is located in the fuse box area behind the ashtray.Its the white relay on the right side.