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
N1 - Funding Information:
The authors wish to thank Dosoung Choi, William Goetzmann, Frank C. Jen, Cheng-few Lee, Tim Loughran, and especially an anonymous referee for helpful comments and suggestions. Seminar participants at the 2007 FMA Annual Meeting provided many valuable comments. This paper was reviewed and accepted while Prof. Giorgio Szego was the Managing Editor of The Journal of Banking and Finance and by the past Editorial Board. Yueh-Hsiang Lin gratefully acknowledges financial support from the National Science Council in Taiwan (NSC96-2416-H147-012).
PY - 2008/9
Y1 - 2008/9
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
SN - 0378-4266
VL - 32
SP - 1754
EP - 1766
JO - Journal of Banking and Finance
JF - Journal of Banking and Finance
IS - 9
ER -