IDEAS home Printed from https://ideas.repec.org/a/bla/jfnres/v30y2007i2p283-300.html
   My bibliography  Save this article

Macroeconomic News And Stock Market Calendar And Weather Anomalies

Author

Listed:
  • Jeffrey R. Gerlach

Abstract

An analysis of six stock market calendar and weather anomalies from 1980 to 2003 shows that (1) returns on trading days in which macroeconomic announcements were made generate the anomalies and (2) five of the six anomalies are not present at all on the trading days in which such announcements were not made (more than 60% of the sample). The results suggest that the market response to macroeconomic news, not psychological or institutional factors, is the main source of calendar and weather anomalies. 2007 The Southern Finance Association and the Southwestern Finance Association.

Suggested Citation

  • Jeffrey R. Gerlach, 2007. "Macroeconomic News And Stock Market Calendar And Weather Anomalies," Journal of Financial Research, Southern Finance Association;Southwestern Finance Association, vol. 30(2), pages 283-300.
  • Handle: RePEc:bla:jfnres:v:30:y:2007:i:2:p:283-300
    as

    Download full text from publisher

    File URL: http://www.blackwell-synergy.com/doi/abs/10.1111/j.1475-6803.2007.00214.x
    File Function: link to full text
    Download Restriction: Access to full text is restricted to subscribers.

    As the access to this document is restricted, you may want to search for a different version of it.

    Citations

    Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
    as


    Cited by:

    1. Lepori, Gabriele M., 2015. "Investor mood and demand for stocks: Evidence from popular TV series finales," Journal of Economic Psychology, Elsevier, vol. 48(C), pages 33-47.
    2. Easterday, Kathryn E. & Sen, Pradyot K., 2016. "Is the January effect rational? Insights from the accounting valuation model," The Quarterly Review of Economics and Finance, Elsevier, vol. 59(C), pages 168-185.
    3. Frühwirth, Manfred & Sögner, Leopold, 2015. "Weather and SAD related mood effects on the financial market," The Quarterly Review of Economics and Finance, Elsevier, vol. 57(C), pages 11-31.
    4. Jalonen, Einari & Vähämaa, Sami & Äijö, Janne, 2010. "Turn-of-the-month and intramonth effects in government bond markets: Is there a role for macroeconomic news?," Research in International Business and Finance, Elsevier, vol. 24(1), pages 75-81, January.
    5. Thomas Gosnell & Ali Nejadmalayeri, 2010. "Macroeconomic news and risk factor innovations," Managerial Finance, Emerald Group Publishing, vol. 36(7), pages 566-582, June.
    6. Dumitriu, Ramona & Stefanescu, Razvan & Nistor, Costel, 2011. "The US macroeconomic news announcements and the within-month effects on the Bucharest Stock Exchange," MPRA Paper 41626, University Library of Munich, Germany, revised 11 Oct 2011.
    7. repec:cpn:umkdem:v:17:y:2017:p:5-18 is not listed on IDEAS
    8. repec:eee:riibaf:v:41:y:2017:i:c:p:292-302 is not listed on IDEAS
    9. Guven, Cahit & Hoxha, Indrit, 2015. "Rain or shine: Happiness and risk-taking," The Quarterly Review of Economics and Finance, Elsevier, vol. 57(C), pages 1-10.
    10. repec:spr:busres:v:11:y:2018:i:1:d:10.1007_s40685-017-0060-0 is not listed on IDEAS
    11. Díaz, Antonio & Jareño, Francisco, 2009. "Explanatory factors of the inflation news impact on stock returns by sector: The Spanish case," Research in International Business and Finance, Elsevier, vol. 23(3), pages 349-368, September.
    12. Silva, Pedro & Almeida, Liliana, 2011. "Weather and stock markets: empirical evidence from Portugal," MPRA Paper 54119, University Library of Munich, Germany.
    13. Aurora MURGEA, 2016. "Mercury retrograde effect in capital markets: truth or illusion?," Timisoara Journal of Economics and Business, West University of Timisoara, Romania, Faculty of Economics and Business Administration, vol. 9(1), pages 49-61, June.

    More about this item

    Statistics

    Access and download statistics

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:bla:jfnres:v:30:y:2007:i:2:p:283-300. See general information about how to correct material in RePEc.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Wiley-Blackwell Digital Licensing) or (Christopher F. Baum). General contact details of provider: http://edirc.repec.org/data/sfaaaea.html .

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    We have no references for this item. You can help adding them by using this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service hosted by the Research Division of the Federal Reserve Bank of St. Louis . RePEc uses bibliographic data supplied by the respective publishers.