Red sky at night or in the morning, to the equity market neither a delight nor a warning: the weather effect re-examined using intraday stock data

Fabio Pizzutilo and Valeria Roncone

The European Journal of Finance, 2017, vol. 23, issue 14, 1280-1310

Abstract: Unlike most of the existing literature on the weather effect, we conducted our analysis by employing intraday weather and market data, examining a large set of stocks rather than indices only, including volume and volatility data in the study and inspecting a wide number of weather variables (temperature, humidity, pressure, visibility, wind, cloud, rain and snow). Our analysis covered the Italian stock market for the period August 2005–March 2014 for a total of 2201 trading days. We conclude that no systematic relationship seems to exist between the weather and the Italian stock market. Moreover, our results raise doubts that testing the weather effect by limiting the analysis to indices only can lead to spurious conclusions.

Date: 2017
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Persistent link: https://EconPapers.repec.org/RePEc:taf:eurjfi:v:23:y:2017:i:14:p:1280-1310

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DOI: 10.1080/1351847X.2016.1151808

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