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Are Weather Induced Moods Priced in Global Equity Markets?

33 Pages Posted: 23 Sep 2005 Last revised: 30 Nov 2013

Michael M. Dowling

ESC Rennes School of Business

Brian M. Lucey

Trinity Business School, Trinity College Dublin; University of Ljubljana - Faculty of Economics

Date Written: September 1, 2005

Abstract

Recent research in behavioural finance has tested for evidence of mood misattribution influencing investor decision-making. The approach adopted is to test for a relationship between widely experienced mood proxy variables and equity returns. Variables ranging from weather, to Seasonal Affective Disorder (SAD), to sporting events, amongst other variables, have all been used in the process of these investigations. This paper conducts a comprehensive, econometrically robust, analysis of the influence of mood proxy variables across a global range of 37 equity market indices and 22 small cap indices. Our study combines key mood proxy variables tested in a range of previous papers in one study. We specifically test for SAD, Daylight Savings Time Changes, lunar, and geomagnetic effects. Only SAD appears to have any effect, worldwide.

Keywords: Weather, GARCH, Behavioural Finance

JEL Classification: C52, G12

Suggested Citation

Dowling, Michael M. and Lucey, Brian M., Are Weather Induced Moods Priced in Global Equity Markets? (September 1, 2005). Journal of Multinational Financial Management, Vol. 18, No. 2, 2008. Available at SSRN: https://ssrn.com/abstract=805944 or http://dx.doi.org/10.2139/ssrn.805944

Michael M. Dowling

ESC Rennes School of Business ( email )

Rue Robert d'arbrissel, 2
Rennes, 35000
France

Brian M. Lucey (Contact Author)

Trinity Business School, Trinity College Dublin ( email )

The Sutherland Centre, Level 6, Arts Building
Dublin 2
Ireland
+353 1 608 1552 (Phone)
+353 1 679 9503 (Fax)

University of Ljubljana - Faculty of Economics ( email )

Kardeljeva ploscad 17
Ljubljana, 1000
Slovenia

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