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Does the weather affect stock market volatility?

Author

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

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.

Suggested Citation

  • Daskalakis, George & Symeonidis, Lazaros & Markellos, Raphael, 2009. "Does the weather affect stock market volatility?," MPRA Paper 34128, University Library of Munich, Germany.
    • Handle: RePEc:pra:mprapa:34128
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    References listed on IDEAS

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    More about this item

    Keywords

    Stock market anomalies; Volatility; Sunshine effect; SAD effect; Behavioral Finance;
    All these keywords.

    JEL classification:

    • G14 - Financial Economics - - General Financial Markets - - - Information and Market Efficiency; Event Studies; Insider Trading
    • G32 - Financial Economics - - Corporate Finance and Governance - - - Financing Policy; Financial Risk and Risk Management; Capital and Ownership Structure; Value of Firms; Goodwill
    • G19 - Financial Economics - - General Financial Markets - - - Other
    • G00 - Financial Economics - - General - - - General

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