I believe that I have solved your problem.
I had the very same problem, took the lamp back to the shop and it works perfectly. It also works perfectly downstairs in my house, but wont work upstairs.
Then I had a thought, touch a radiator or the screws of a plug socket or something that is earthed, with your other hand and it works perfectly.
Its not a solution unless you don't mind the fiddling about, but I think it explains all. The capacitance required to make the lamp switch on or off, also requires another pole, ie earth.