Daskalakis, George and Symeonidis, Lazaros and Markellos, Raphael (2009): Does the weather affect stock market volatility? Published in: Finance Research Letters , Vol. 7, No. 4 (December 2010)
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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.
|Item Type:||MPRA Paper|
|Original Title:||Does the weather affect stock market volatility?|
|Keywords:||Stock market anomalies; Volatility; Sunshine effect; SAD effect; Behavioral Finance|
|Subjects:||G - Financial Economics > G1 - General Financial Markets > G14 - Information and Market Efficiency; Event Studies
G - Financial Economics > G3 - Corporate Finance and Governance > G32 - Financing Policy; Financial Risk and Risk Management; Capital and Ownership Structure; Value of Firms; Goodwill
G - Financial Economics > G1 - General Financial Markets > G19 - Other
G - Financial Economics > G0 - General > G00 - General
|Depositing User:||Lazaros Symeonidis|
|Date Deposited:||15. Oct 2011 17:02|
|Last Modified:||11. Feb 2013 17:25|
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