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Does the weather affect stock market volatility?

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  • Symeonidis, Lazaros
  • Daskalakis, George
  • Markellos, Raphael N.

Abstract

This paper investigates the empirical association between stock market volatility and investor mood-proxies related to the weather (cloudiness, temperature and precipitation) and the environment (nighttime length). Overall, our results suggest that cloudiness and length of nighttime are inversely related to historical, implied and realized measures of volatility. The strength of association seems to vary with the location of an exchange on Earth with respect to the equator. Weather deviations from seasonal norms and dummies representing extreme weather conditions do not offer additional explanatory power in our datasets.

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Bibliographic Info

Article provided by Elsevier in its journal Finance Research Letters.

Volume (Year): 7 (2010)
Issue (Month): 4 (December)
Pages: 214-223

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Handle: RePEc:eee:finlet:v:7:y:2010:i:4:p:214-223

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Web page: http://www.elsevier.com/locate/frl

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Keywords: Stock market anomalies Volatility Sunshine effect SAD effect Behavioral Finance;

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Cited by:
  1. Shan, Liwei & Gong, Stephen X., 2012. "Investor sentiment and stock returns: Wenchuan Earthquake," Finance Research Letters, Elsevier, vol. 9(1), pages 36-47.
  2. Aboura, Sofiane & Chevallier, Julien, 2013. "Leverage vs. feedback: Which Effect drives the oil market?," Finance Research Letters, Elsevier, vol. 10(3), pages 131-141.
  3. Hasan, Syed Akif & Subhani, Muhammad Imtiaz, 2011. "Which Matters the Most for the Trading Index? (Law and Order or Weather Conditions)," MPRA Paper 34736, University Library of Munich, Germany, revised 2011.
  4. Christos Floros, 2011. "On the relationship between weather and stock market returns," Studies in Economics and Finance, Emerald Group Publishing, vol. 28(1), pages 5-13, March.
  5. Mamatzakis, E, 2013. "Does weather affect US bank loan efficiency?," MPRA Paper 51616, University Library of Munich, Germany.

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