Does the weather have impacts on returns and trading activities in order-driven stock markets? Evidence from China

Jing Lu and Robin K. Chou

Journal of Empirical Finance, 2012, vol. 19, issue 1, 79-93

Abstract: We study the association between weather-related mood factors and stock index returns in an order-driven market, the Shanghai Stock Exchange (SSE) of China. Our results indicate that asset returns are unaffected by changes in mood introduced by factors including the weather and the onset and recovery from SAD. In contrast, many of these variables are strongly correlated with a reduction in market turnover and liquidity, consistent with investor mood driving variations in market activity. Overall, we show that in an order-driven market, environmental impacts on sentiment are likely to affect trading activities, but not returns.

Keywords: Behavioral finance; Seasonal affective disorder; Stock market; Trading activity; Weather (search for similar items in EconPapers)
JEL-codes: G14 (search for similar items in EconPapers)
Date: 2012
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (37)

Downloads: (external link)
http://www.sciencedirect.com/science/article/pii/S0927539811000703
Full text for ScienceDirect subscribers only

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:eee:empfin:v:19:y:2012:i:1:p:79-93

DOI: 10.1016/j.jempfin.2011.10.001

Access Statistics for this article

Journal of Empirical Finance is currently edited by R. T. Baillie, F. C. Palm, Th. J. Vermaelen and C. C. P. Wolff

More articles in Journal of Empirical Finance from Elsevier
Bibliographic data for series maintained by Catherine Liu ().