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

Athanasios Andrikopoulos, Changyu Wang and Min Zheng

Finance Research Letters, 2019, vol. 30, issue C, 51-59

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.

Keywords: Weather; Mood; Stock market; Foreign exchange market; Behavioral finance (search for similar items in EconPapers)
JEL-codes: G14 G15 G40 (search for similar items in EconPapers)
Date: 2019
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (5)

Downloads: (external link)
http://www.sciencedirect.com/science/article/pii/S1544612319300030
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:finlet:v:30:y:2019:i:c:p:51-59

DOI: 10.1016/j.frl.2019.03.026

Access Statistics for this article

Finance Research Letters is currently edited by R. Gençay

More articles in Finance Research Letters from Elsevier
Bibliographic data for series maintained by Catherine Liu ().