Weather and intraday patterns in stock returns and trading activity

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

Research output: Contribution to journalArticle

64 Citations (Scopus)

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.

Original languageEnglish
Pages (from-to)1754-1766
Number of pages13
JournalJournal of Banking and Finance
Volume32
Issue number9
DOIs
Publication statusPublished - 2008 Sep 1

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All Science Journal Classification (ASJC) codes

  • Finance
  • Economics and Econometrics

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