As docs say you have to call setTheme before any view output. It seems that super.onCreate() takes part in view processing.
So, to switch between themes dynamically you simply need to call setTheme before super.onCreate like this:
public void onCreate(Bundle savedInstanceState) {
setTheme(android.R.style.Theme);
super.onCreate(savedInstanceState);
setContentView(R.layout.activity_second);
}