Changes of weather can affect stock market through impacting on people's mood. Such behavior finance research has become a hot topic in the recent. Based on DCC-MVGARCH model, the impact of weather changes on China's stock market fluctuation is empirical analyzed using the day close data of Shanghai Composite index and sample indicators such as temperature, humidity and air pressure and so on from Jan. 2, 1997 to Feb. 27, 2009. As the results shown, sunshine, wind speed, air pressure, precipitation had no significant effect on Shanghai stock market volatility, but there is a negative correlation between the temperature and Shanghai stock market returns while humidity is positively correlated on the Shanghai stock market returns.
