Does the weather affect stock market volatility?

Symeonidis, L., Daskalakis, G. ORCID: https://orcid.org/0000-0003-4421-7167 and Markellos, R.N. (2010) Does the weather affect stock market volatility? Finance Research Letters, 7 (4). pp. 214-223.

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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. © 2010 Elsevier Inc.

Item Type:	Article
Uncontrolled Keywords:	behavioural finance,sad effect,stock market anomalies,sunshine effect,volatility
Faculty \ School:	Faculty of Social Sciences > Norwich Business School
UEA Research Groups:	Faculty of Social Sciences > Research Groups > Accounting, Finance and Governance (former - to 2017) Faculty of Social Sciences > Research Groups > Finance Group Faculty of Social Sciences > Research Centres > Centre for Competition Policy
Related URLs:	http://www.scopus.com/inward/record.url?...
Depositing User:	Vishal Gautam
Date Deposited:	13 Jan 2011 10:40
Last Modified:	04 Jan 2024 01:55
URI:	https://ueaeprints.uea.ac.uk/id/eprint/19204
DOI:	10.1016/j.frl.2010.05.004

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