Does the Weather Affect Stock Market Volatility?

18 Pages Posted: 13 Oct 2008 Last revised: 26 Jan 2011

See all articles by Lazaros Symeonidis

Lazaros Symeonidis

University of East Anglia (UEA) - Norwich Business School

George Daskalakis

Norwich Business School - University of East Anglia

Raphael N. Markellos

University of East Anglia (UEA) - Norwich Business School

Date Written: June 1, 2010

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

JEL Classification: G14, G32

Suggested Citation

Symeonidis, Lazaros and Daskalakis, George and Markellos, Raphael N., Does the Weather Affect Stock Market Volatility? (June 1, 2010). Finance Research Letters, Vol. 7, No. 4, pp. 214-223, 2010. Available at SSRN: https://ssrn.com/abstract=1283169

Lazaros Symeonidis

University of East Anglia (UEA) - Norwich Business School ( email )

Norwich
NR4 7TJ
United Kingdom

George Daskalakis

Norwich Business School - University of East Anglia ( email )

Norwich, NR4 7TJ
United Kingdom
+44 (0)1603 592309 (Phone)
+44 (0)1603 593343 (Fax)

HOME PAGE: http://business.uea.ac.uk/dr-george-daskalakis

Raphael N. Markellos (Contact Author)

University of East Anglia (UEA) - Norwich Business School ( email )

Norwich
NR4 7TJ
United Kingdom

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