کد مقاله | کد نشریه | سال انتشار | مقاله انگلیسی | نسخه تمام متن |
---|---|---|---|---|
5090817 | 1375647 | 2008 | 13 صفحه PDF | دانلود رایگان |
عنوان انگلیسی مقاله ISI
Weather and intraday patterns in stock returns and trading activity
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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
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.
ناشر
Database: Elsevier - ScienceDirect (ساینس دایرکت)
Journal: Journal of Banking & Finance - Volume 32, Issue 9, September 2008, Pages 1754-1766
Journal: Journal of Banking & Finance - Volume 32, Issue 9, September 2008, Pages 1754-1766
نویسندگان
Shao-Chi Chang, Sheng-Syan Chen, Robin K. Chou, Yueh-Hsiang Lin,