政大機構典藏-National Chengchi University Institutional Repository(NCCUR):Item 140.119/72719

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政大機構典藏 > 商學院 > 財務管理學系 > 期刊論文 > Item 140.119/72719

Please use this identifier to cite or link to this item: https://nccur.lib.nccu.edu.tw/handle/140.119/72719

Title:	Weather and Intraday Patterns in Stock Returns and Trading Activity
Authors:	Chang, Shao-Chi;Chen, Sheng-Syan;Chou, Robin K.;Lin, Yueh-Hsiang 周冠男
Contributors:	財管系
Keywords:	Intraday return;Intraday trading activity;Weather;Sentiment
Date:	2008-09
Issue Date:	2015-01-08 18:03:36 (UTC+8)
Abstract:	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.
Relation:	Journal of Banking and Finance, 32(9), 1754-1766
Data Type:	article
Appears in Collections:	[財務管理學系] 期刊論文

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