Does the weather affect stock market volatility?

Citation

Symeonidis L, Daskalakis G & Markellos RN (2010) Does the weather affect stock market volatility?. Finance Research Letters, 7 (4), pp. 214-223. https://doi.org/10.1016/j.frl.2010.05.004

Abstract
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.

Keywords
Stock market anomalies; Volatility; Sunshine effect; SAD effect; Behavioral Finance

Journal
Finance Research Letters: Volume 7, Issue 4