Weather and intraday patterns in stock returns and trading activity |
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| Authors: | Shao-Chi Chang Sheng-Syan Chen Robin K. Chou Yueh-Hsiang Lin |
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| Affiliation: | 1. Institute of International Business, College of Management, National Cheng Kung University, Taiwan;2. Department of Finance, College of Management, National Taiwan University, Taiwan;3. Department of Finance, School of Management, National Central University, 300 Jhongda Road, Jhongli, Taiwan;4. Department of Banking and Finance, Takming University of Science and Technology, Taiwan |
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| Abstract: | We examine the relation between weather in New York City and intraday returns and trading patterns of NYSE stocks. While stock returns are found to be generally lower on cloudier days, cloud cover has a significant influence on stock returns only at the market open. There are significantly more seller-initiated trades when there is more cloud cover at the market open, which is consistent with the return results. Cloudy skies are associated with higher volatility and less market depth over the entire trading day. Finally, cloud cover is not significantly correlated with spread measures and turnover ratios. The findings overall suggest that weather has a significant influence on investors’ intraday trading behavior. |
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| Keywords: | G12 G14 |
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