Quality & Quantity

, Volume 46, Issue 2, pp 695–703

Does weather impact the stock market? Empirical evidence in Taiwan

Research Note

DOI: 10.1007/s11135-010-9422-9

Cite this article as:
Wang, Y., Lin, C. & Lin, J.D. Qual Quant (2012) 46: 695. doi:10.1007/s11135-010-9422-9


Psychological evidence suggests close relationships between weather and mood. Individuals feel in a more positive frame of mind on sunny than cloudy days. This study applies GJR–GARCH to examine the relationship among weather, stock returns and risk in Taiwan from 2001 to 2007. The empirical results indicate that precipitation does not significantly influence stock return and risk; likewise, sunshine hours and temperature insignificantly influence stock return, but do significant impact stock risk. These findings demonstrate that weather effect really exist in stock market, and can help investors in making innovative investment and management decisions.


RiskMoodBehavioral financeGJR–GARCH

Copyright information

© Springer Science+Business Media B.V. 2011

Authors and Affiliations

  1. 1.Department of Banking and FinanceChinese Culture UniversityTaipeiTaiwan, ROC
  2. 2.Department of Business AdministrationMing Chuan UniversityTaipeiTaiwan, ROC
  3. 3.Yuanpei UniversityHsin ChuTaiwan, ROC