TY - JOUR
T1 - Weather and intraday patterns in stock returns and trading activity
AU - Chang, Shao Chi
AU - Chen, Sheng Syan
AU - Chou, Robin K.
AU - Lin, Yueh Hsiang
PY - 2008/9/1
Y1 - 2008/9/1
N2 - 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.
AB - 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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U2 - 10.1016/j.jbankfin.2007.12.007
DO - 10.1016/j.jbankfin.2007.12.007
M3 - Article
AN - SCOPUS:48749088474
VL - 32
SP - 1754
EP - 1766
JO - Journal of Banking and Finance
JF - Journal of Banking and Finance
SN - 0378-4266
IS - 9
ER -