Mood and UK Equity Pricing

Published as: Dowling, M. and Lucey, B. (2008). Mood and UK Equity Pricing. Applied Financial Economics Letters, vol. 4(4), pp 233-240

16 Pages Posted: 26 Feb 2007 Last revised: 23 Sep 2013

See all articles by Michael M. Dowling

Michael M. Dowling

Dublin City University Business School; ESC Rennes School of Business

Brian M. Lucey

Trinity Business School, Trinity College Dublin; Ho Chi Minh City University of Economics and Finance; Jiangxi University of Finance and Economics

Date Written: February 1, 2007

Abstract

We investigate the relationship between mood and UK equity pricing. Seven variables that are argued to proxy for mood are tested, including four weather variables (temperature, precipitation, wind speed, and geomagnetic storms), and three biorhythm variables (Seasonal Affective Disorder, Daylight Savings Time Changes, and lunar phases). Using GARCH specifications of the equity indices, and multiple constructs of each of the mood-proxy variables, we find evidence of a relationship between UK equity pricing and high temperatures and wind speed. However, the results are generally unfavourable towards a conclusion that investor mood influences aggregate UK equity pricing.

Keywords: mood, market efficiency, anomaly, weather effect, Seasonal Affective Disorder

JEL Classification: G12, G14

Suggested Citation

Dowling, Michael M. and Lucey, Brian M., Mood and UK Equity Pricing (February 1, 2007). Published as: Dowling, M. and Lucey, B. (2008). Mood and UK Equity Pricing. Applied Financial Economics Letters, vol. 4(4), pp 233-240 , Available at SSRN: https://ssrn.com/abstract=964972 or http://dx.doi.org/10.2139/ssrn.964972

Michael M. Dowling

Dublin City University Business School ( email )

Dublin 9
Ireland

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)

Ho Chi Minh City University of Economics and Finance ( email )

59C Nguyen D├Čnh Chieu
6th Ward, District 3
Ho Chi Minh City, Ho Chi Minh 70000
Vietnam

Jiangxi University of Finance and Economics ( email )

South Lushan Road
Nanchang, Jiangxi 330013
China

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