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

Andrikopoulos, Athanasios; Wang, Changyu; Zheng, Min

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: Mar 20, 2020
• 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.
• Contract Date: Apr 9, 2019