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Is there still a weather anomaly? An investigation of stock and foreign exchange markets

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  • Andrikopoulos, Athanasios
  • Wang, Changyu
  • Zheng, Min

Abstract

Since Saunders (1993), there has been ongoing research on whether the weather can affect asset prices. Our study of the impact of weather on stock and foreign exchange (henceforth FX) markets shows that the weather has no effect during 2002–2018, suggesting that any effect may have dissipated after discovery as practitioners have tried to use investment vehicles to exploit it. The results indicate that mood changes caused by the weather do not significantly affect FX and stock returns.

Suggested Citation

  • Andrikopoulos, Athanasios & Wang, Changyu & Zheng, Min, 2019. "Is there still a weather anomaly? An investigation of stock and foreign exchange markets," Finance Research Letters, Elsevier, vol. 30(C), pages 51-59.
    • Handle: RePEc:eee:finlet:v:30:y:2019:i:c:p:51-59
    DOI: 10.1016/j.frl.2019.03.026
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    Cited by:

    1. Liu, Huajin & Zhang, Wei & Zhang, Xiaotao & Liu, Jia, 2021. "Temperature and trading behaviours," International Review of Financial Analysis, Elsevier, vol. 78(C).
    2. Uluyol, Burhan & Hui Pu, Suan & Shaturaev, Jakhongir & Kanaparan, Geetha, 2023. "Cracking the Code of Market Secrets: A Deep Dive into Financial Anomalies," MPRA Paper 119039, University Library of Munich, Germany, revised 05 Oct 2023.
    3. Deari Fitim & Ulu Yasemin, 2023. "The Turn-of-the-Month Effect: Evidence from Macedonian Stock Exchange," Studia Universitatis „Vasile Goldis” Arad – Economics Series, Sciendo, vol. 33(3), pages 86-100, September.

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    More about this item

    Keywords

    Weather; Mood; Stock market; Foreign exchange market; Behavioral finance;
    All these keywords.

    JEL classification:

    • G14 - Financial Economics - - General Financial Markets - - - Information and Market Efficiency; Event Studies; Insider Trading
    • G15 - Financial Economics - - General Financial Markets - - - International Financial Markets
    • G40 - Financial Economics - - Behavioral Finance - - - General

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