Does the weather affect stock market volatility?

被引：51
|
作者：
Symeonidis, Lazaros [2 ]
Daskalakis, George [3 ]
Markellos, Raphael N. [1 ]
机构：
[1] Athens Univ Econ & Business, Dept Management Sci & Technol, GR-11362 Athens, Greece
[2] Univ Reading, Henley Business Sch, ICMA Ctr, Reading RG6 2AH, Berks, England
[3] Univ E Anglia, Norwich Business Sch, Norwich NR4 7TJ, Norfolk, England
来源：
FINANCE RESEARCH LETTERS | 2010年 / 7卷 / 04期
关键词：
Stock market anomalies; Volatility; Sunshine effect; SAD effect; Behavioral Finance; RETURNS; MOOD;
D O I：
10.1016/j.frl.2010.05.004
中图分类号：
F8 [财政、金融];
学科分类号：
0202 ;
摘要：
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. (C) 2010 Elsevier Inc. All rights reserved.
引用
收藏
页码：214 / 223
页数：10
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