Does the Weather Influence Global Stock Returns?

52 Pages Posted: 1 Jun 2014 Last revised: 5 Jun 2018

See all articles by Ming Dong

Ming Dong

York University - Schulich School of Business

Andreanne Tremblay

Université Laval - Département de Finance et Assurance

Date Written: June 4, 2018

Abstract

We hypothesize that weather’s emotional effects depend on climate and season, and examine the relation between weather (sunshine, wind, rain, snow, and temperature) and index returns separately for each region (cold, hot, and mild countries) and month. We find strong effects of all five weather variables in 49 countries from 1973 to 2012, and all but the sunshine effect vary across temperature regions and seasons. The systematic patterns of weather effects across climates and seasons suggest that weather influences stock returns through investor mood, and that the emotional effects of the weather are stronger and more pervasive than previously documented.

Keywords: weather, stock returns, temperature region, season, investor psychology

JEL Classification: G00, G11, G14, F39

Suggested Citation

Dong, Ming and Tremblay, Andreanne, Does the Weather Influence Global Stock Returns? (June 4, 2018). Available at SSRN: https://ssrn.com/abstract=2444035 or http://dx.doi.org/10.2139/ssrn.2444035

Ming Dong (Contact Author)

York University - Schulich School of Business ( email )

4700 Keele Street
Toronto, Ontario M3J 1P3
Canada
416-736-2100 ext. 77945 (Phone)
416-736-5687 (Fax)

Andreanne Tremblay

Université Laval - Département de Finance et Assurance ( email )

Pavillon Palasis-Prince
Quebec G1K 7P4
Canada

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