Weather and intraday patterns in stock returns and trading activity

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

研究成果: Article同行評審

92 引文 斯高帕斯(Scopus)


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.

頁(從 - 到)1754-1766
期刊Journal of Banking and Finance
出版狀態Published - 2008 9月

All Science Journal Classification (ASJC) codes

  • 金融
  • 經濟學與計量經濟學


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