Weather and intraday patterns in stock returns and trading activity

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

doi:10.1016/j.jbankfin.2007.12.007

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 journal › Article › peer-review

70 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 language	English
Pages (from-to)	1754-1766
Number of pages	13
Journal	Journal of Banking and Finance
Volume	32
Issue number	9
DOIs	https://doi.org/10.1016/j.jbankfin.2007.12.007
Publication status	Published - 2008 Sep 1

All Science Journal Classification (ASJC) codes

Finance
Economics and Econometrics

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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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