کد مقاله | کد نشریه | سال انتشار | مقاله انگلیسی | نسخه تمام متن |
---|---|---|---|---|
5069824 | 1373207 | 2010 | 10 صفحه PDF | دانلود رایگان |
عنوان انگلیسی مقاله ISI
Does the weather affect stock market volatility?
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کلمات کلیدی
موضوعات مرتبط
علوم انسانی و اجتماعی
اقتصاد، اقتصادسنجی و امور مالی
اقتصاد و اقتصادسنجی
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چکیده انگلیسی
This paper investigates the empirical association between stock market volatility and investor mood-proxies related to the weather (cloudiness, temperature and precipitation) and the environment (nighttime length). Overall, our results suggest that cloudiness and length of nighttime are inversely related to historical, implied and realized measures of volatility. The strength of association seems to vary with the location of an exchange on Earth with respect to the equator. Weather deviations from seasonal norms and dummies representing extreme weather conditions do not offer additional explanatory power in our datasets.
ناشر
Database: Elsevier - ScienceDirect (ساینس دایرکت)
Journal: Finance Research Letters - Volume 7, Issue 4, December 2010, Pages 214-223
Journal: Finance Research Letters - Volume 7, Issue 4, December 2010, Pages 214-223
نویسندگان
Lazaros Symeonidis, George Daskalakis, Raphael N. Markellos,