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A meta‐analysis of the international evidence of cloud cover on stock returns

Author

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  • Stephen P. Keef
  • Melvin L. Roush

Abstract

Purpose - This paper provides a meta‐analysis of the Hirshleifer and Shumway's results on the casual influence of daily cloud cover on stock index returns for 26 international stock exchanges. It aims to test whether these results are influenced by the location of the stock exchange and the development of the economy. Design/methodology/approach - A conventional meta‐analytic procedure is used to synthesise the data. The effect size, of the influence of cloud cover on stock returns, is measured by the Fisher Z correlation coefficient. This is obtained from thet‐statistic of the slope coefficient reported in the regression for each country. Two study characteristics are used to differentiate between the 26 stock exchanges. These are the latitude of the city and the per capita Gross Domestic Product of the country. Findings - The influence of cloud cover on stock returns becomes more negative as latitude increases and more negative as per capita Gross Domestic Product increases. A cloud cover effect does not exist at the equator. Practical implications - The implication is that trading rules based on cloud cover will be more profitable at higher latitudes. Originality/value - Meta‐analyses are infrequently used in the Finance literature. This paper illustrates their utility.

Suggested Citation

  • Stephen P. Keef & Melvin L. Roush, 2007. "A meta‐analysis of the international evidence of cloud cover on stock returns," Review of Accounting and Finance, Emerald Group Publishing Limited, vol. 6(3), pages 324-338, August.
    • Handle: RePEc:eme:rafpps:v:6:y:2007:i:3:p:324-338
    DOI: 10.1108/14757700710778045
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    Citations

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    Cited by:

    1. Geyer-Klingeberg, Jerome & Hang, Markus & Rathgeber, Andreas, 2020. "Meta-analysis in finance research: Opportunities, challenges, and contemporary applications," International Review of Financial Analysis, Elsevier, vol. 71(C).
    2. Krzysztof Borowski, 2016. "The Influence of Weather Conditions on Rates of Return of Polish Equity Indices," International Journal of Economics and Finance, Canadian Center of Science and Education, vol. 8(4), pages 183-191, April.
    3. Symeonidis, Lazaros & Daskalakis, George & Markellos, Raphael N., 2010. "Does the weather affect stock market volatility?," Finance Research Letters, Elsevier, vol. 7(4), pages 214-223, December.
    4. Andrew Worthington, 2009. "An Empirical Note on Weather Effects in the Australian Stock Market," Economic Papers, The Economic Society of Australia, vol. 28(2), pages 148-154, June.
    5. Hyein Shim & Maria H. Kim & Doojin Ryu, 2017. "Effects of intraday weather changes on asset returns and volatilities," Zbornik radova Ekonomskog fakulteta u Rijeci/Proceedings of Rijeka Faculty of Economics, University of Rijeka, Faculty of Economics and Business, vol. 35(2), pages 301-330.
    6. Stéphane Goutte & David Guerreiro & Bilel Sanhaji & Sophie Saglio & Julien Chevallier, 2019. "International Financial Markets," Post-Print halshs-02183053, HAL.

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