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
Date Written: February 1, 2007
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: Suggested Citation