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Does the weather affect stock market volatility?

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

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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File URL: https://mpra.ub.uni-muenchen.de/34128/1/MPRA_paper_34128.pdf
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Paper provided by University Library of Munich, Germany in its series MPRA Paper with number 34128.

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Date of creation: 10 Sep 2009
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Handle: RePEc:pra:mprapa:34128
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  18. Levy, Ori & Galili, Itai, 2008. "Stock purchase and the weather: Individual differences," Journal of Economic Behavior & Organization, Elsevier, vol. 67(3-4), pages 755-767, September.
  19. Newey, Whitney & West, Kenneth, 2014. "A simple, positive semi-definite, heteroscedasticity and autocorrelation consistent covariance matrix," Applied Econometrics, Publishing House "SINERGIA PRESS", vol. 33(1), pages 125-132.
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