Weather and intraday patterns in stock returns and trading activity

Chang, Shao Chi; Chen, Sheng Syan; Chou, Robin K.; Lin, Yueh Hsiang

doi:10.1016/j.jbankfin.2007.12.007

Cited by 147 publications

(87 citation statements)

References 64 publications

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“…However, empirical evidence of weather induced volatility is scarce. S.-C. Chang et al (2008) find significant positive influence of cloud cover on intraday volatility of NYSE firms. Dowling and Lucey (2008) show that SAD and different other mood proxy variables are positively related to conditional variance for most of the equity indices considered.…”

Section: Literature Reviewmentioning

confidence: 86%

“…The raw cloud cover ratio that is found to be negatively related to returns in various studies on developed markets (e.g., S.-C. Chang et al, 2008;Hirshleifer & Shumway, 2003 ;Saunders, 1993) appears to have no relation with returns in south Asian markets. Deseasonalized cloud cover ratio is significantly related to returns in Karachi market only but the direction of the relationship is opposite to the direction that is found in developed markets.…”

Section: Index Returnsmentioning

confidence: 95%

“…Several studies (e.g., Cao & Wei, 2005;Dowling & Lucey, 2008;Kamstra, Kramer, & Levi, 2003;Lu & Chou, 2012;Saunders, 1993) have attempted to investigate in depth the relations between stock market returns and current weather conditions. One of the empirical findings is the 'sunshine effect' -a negative correlation between cloudiness, as measured by cloud cover, and daily equity index returns (S.-C. Chang, Chen, Chou, & Lin, 2008;Hirshleifer & Shumway, 2003 ;Saunders, 1993). This sunshine effect in the New York Stock Exchange (NYSE), first found by Saunders (1993), was immediately noticed by the Wall Street.…”

Section: Introductionmentioning

confidence: 99%

See 2 more Smart Citations

Weather Effects on Stock Returns and Volatility in South Asian Markets

Sheikh¹,

Shah

Mahmood

2017

Asia-Pac Financ Markets

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Section: Literature Reviewmentioning

confidence: 86%

Section: Index Returnsmentioning

confidence: 95%

Section: Introductionmentioning

confidence: 99%

See 1 more Smart Citation

Weather Effects on Stock Returns and Volatility in South Asian Markets

Sheikh¹,

Shah

Mahmood

2017

Asia-Pac Financ Markets

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“…A number of studies including those by Baker and Stein (2004), Brown (1999), and Wright and Bower (1992) point out that weather conditions can change the risk preference of investors, valuation of financial assets, and trading willingness; thus, they have a significant influence on market volatility. Chang et al (2008), Lu and Chou (2012), and Symeonidis et al (2010) provide empirical evidence to support the argument that the weather effect can be better captured by volatility than stock returns. However, relatively few extant studies pay attention to the volatility behavior.…”

Section: Introductionmentioning

confidence: 71%

“…Using the intraday data on NYSE stocks during the period 1994 to 2004, Chang et al (2008 observe relatively lower stock returns on cloudier days, but find that the effect of cloud cover on stock prices is significant only for the first 15 minutes after the market opens. They also document a higher number of seller-initiated trades on cloudy days, a result that is significant for the first 15 minutes after the market opening.…”

mentioning

confidence: 93%

Effects of Intraday Weather Changes on Asset Returns and Volatilities

Shim¹,

Kim²,

Ryu³

2017

Zb.rad.Ekon.fak.Rij.

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Analyzing the intraday dataset on weather and market information with the use of the extended GJR-GARCH framework, this study explores in depth the weather effects on the asset returns and volatilities of the Korean stock and derivatives markets. Our intraday analyses contribute to the existing literature by going beyond the attempt of prior studies to capture the weather effects using the average daily observations alone. The empirical results document a modest presence of the weather effect on the returns and volatilities, though the significance of its impact is found to vary across different market conditions and indices.We also find that the return and volatility respond asymmetrically to extremely good and bad weather conditions. The intraday analyses show that the weather effect on the returns and volatilities is more statistically significant at the beginning of the working day or the lunch break, indicating the intraday weather effects on the financial market.

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Air pollution, weather factors, and realized volatility forecasts of agricultural commodity futures

Luo,

Zhang

2023

Journal of Futures Markets

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This study investigates the potential effects of environmental factors on fluctuations in agricultural commodity futures markets, by constructing a new category of daily exogenous predictors related to air pollution, weather, climate change, and investor attention. The empirical results from out‐of‐sample analyses suggest that the heterogeneous autoregressive (HAR) model incorporating all these exogenous predictors is more likely to outperform other HAR‐type models. Additionally, economic evaluations demonstrate the superior performance of models incorporating investors' attention to climate change or extreme weather as predictors. While not all exogenous predictors are equally important for volatility forecasts, adopting appropriate variable selection methods to handle different sets of exogenous predictors can lead to better performance than the HAR benchmark. With the inclusion of air pollution or weather factors in the HAR model, a portfolio with an annualized average excess return of 16.2068% or a Sharpe ratio of 10.0431 can be achieved for the wheat futures, respectively.

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Weather and intraday patterns in stock returns and trading activity

Cited by 147 publications

References 64 publications

Weather Effects on Stock Returns and Volatility in South Asian Markets

Weather Effects on Stock Returns and Volatility in South Asian Markets

Effects of Intraday Weather Changes on Asset Returns and Volatilities

Air pollution, weather factors, and realized volatility forecasts of agricultural commodity futures

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