Does the weather affect stock market volatility?

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.

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Year of publication:	2009-09-10
Authors:	Daskalakis, George ; Symeonidis, Lazaros ; Markellos, Raphael

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Type of publication:	Book / Working Paper
Language:	English
Notes:	Daskalakis, George and Symeonidis, Lazaros and Markellos, Raphael (2009): Does the weather affect stock market volatility? Published in: Finance Research Letters , Vol. 7, No. 4 (December 2010)
Classification:	G14 - Information and Market Efficiency; Event Studies ; G32 - Financing Policy; Capital and Ownership Structure ; G19 - General Financial Markets. Other ; G00 - Financial Economics. General
Source:	BASE

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