6533b7d3fe1ef96bd1261202
RESEARCH PRODUCT
Spanish Stock Returns: Where is the Weather Effect?
Enric ValorAngel Pardosubject
Financial economicscomputer.software_genreCONTESTStock market indexOpen outcryAccountingSunshine durationWeather effectEconomicsAlgorithmic tradingEmpirical evidenceGeneral Economics Econometrics and FinancecomputerStock (geology)description
Psychological studies support the existence of an influence of weather on mood. Saunders (1993) and Hirshleifer and Shumway (2001) argue that the weather could affect the behaviour of market traders and, therefore, it should be reflected in the stock returns. This paper investigates the possible relation between weather and market index returns in the context of the Spanish market. In 1989, this market changed its open outcry trading system into a computerised and decentralised trading system. Therefore, it is possible to check the influence of weather variables (sunshine hours and humidity levels) on index returns in an open outcry trading system, and to compare it with a screen traded environment. The empirical evidence indicates that, independently of the trading system, there is no influence of weather on stock prices. Thus, these findings do not contest the notion of efficient markets.
| year | journal | country | edition | language |
|---|---|---|---|---|
| 2003-03-01 | European Financial Management |