Does the weather affect stock market volatility?

George Daskalakis, Lazaros Symeonidis and Raphael Markellos

MPRA Paper from University Library of Munich, Germany

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.

Keywords: Stock market anomalies; Volatility; Sunshine effect; SAD effect; Behavioral Finance (search for similar items in EconPapers)
JEL-codes: G00 G14 G19 G32 (search for similar items in EconPapers)
Date: 2009-09-10
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Citations: View citations in EconPapers (1)

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Related works:
Journal Article: Does the weather affect stock market volatility? (2010)
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Persistent link: https://EconPapers.repec.org/RePEc:pra:mprapa:34128

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