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Is there still a weather anomaly? An investigation of stock and foreign exchange markets

Andrikopoulos, Athanasios; Wang, Changyu; Zheng, Min

Authors

Changyu Wang

Min Zheng



Abstract

Since Saunders (1993), there has been ongoing research on whether the weather can affect asset prices. Our study of the impact of weather on stock and foreign exchange (henceforth FX) markets shows that the weather has no effect during 2002–2018, suggesting that any effect may have dissipated after discovery as practitioners have tried to use investment vehicles to exploit it. The results indicate that mood changes caused by the weather do not significantly affect FX and stock returns.

Citation

Andrikopoulos, A., Wang, C., & Zheng, M. (2019). Is there still a weather anomaly? An investigation of stock and foreign exchange markets. Finance research letters, 30, 51-59. https://doi.org/10.1016/j.frl.2019.03.026

Journal Article Type Article
Acceptance Date Mar 18, 2019
Online Publication Date Mar 19, 2019
Publication Date 2019-09
Deposit Date Apr 8, 2019
Publicly Available Date Oct 27, 2022
Journal Finance Research Letters
Print ISSN 1544-6123
Publisher Elsevier
Peer Reviewed Peer Reviewed
Volume 30
Pages 51-59
DOI https://doi.org/10.1016/j.frl.2019.03.026
Keywords Weather; Mood; Stock market; Foreign exchange market; Behavioral finance
Public URL https://hull-repository.worktribe.com/output/1562223
Publisher URL https://www.sciencedirect.com/science/article/pii/S1544612319300030?via%3Dihub
Additional Information This is the accepted manuscript of an article published in Finance Research Letter, 2019. The version of record is available at the DOI link in this record.reserved.

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