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(Unusual) weather and stock returns—I am not in the mood for mood: further evidence from international markets

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Abstract

This paper investigates the explanatory power of weather variables deviations in two leading international financial trading centres (New York and London) on 58 global stock indices over the period September 2000 to December 2013. The empirical results find that unusual deviations of weather variables from their monthly averages have a statistically significant effect on stock returns across global returns. The paper also attempts to explain these effects through the sales and energy prices mechanisms. The results provide strong support to both mechanisms.

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Notes

  1. The index used for the case of the USA is the Dow Jones Industrial Average. However, the implementation of the analysis also based on the Nasdaq and the SP500 generated similar results (with the results being available upon request).

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Acknowledgments

The authors wish to express their gratitude to Robert Durand at Curtin University as well as to those in the workshop organized by the Credit Analysis Department at the Sumitomo Mitsui Banking Corporation Europe Limited for their valuable comments and suggestions that enhanced the merit of this work. They also highly appreciate the comments made by two referees of this journal that have substantially contributed to also substantially enhancing the merit of this paper. Needless to say, the usual disclaimer applies.

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Authors and Affiliations

  1. University of Piraeus, Piraeus, Greece

    Nicholas Apergis

  2. Sumitomo Mitsui Banking Corporation Europe Limited, London, UK

    Alexandros Gabrielsen

  3. Curtin University, Bentley, Australia

    Lee A. Smales

  4. Credit Suisse, London, UK

    Alexandros Gabrielsen

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  1. Nicholas Apergis
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  2. Alexandros Gabrielsen
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Correspondence to Nicholas Apergis.

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Appendix: Stock markets indexes

Appendix: Stock markets indexes

Netherlands: AEX Index, Argentina: Argentina MERVAL Index, Greece: Athens Stock Exchange Index, Australia: Stock Exchange All Ordinaries Index, Belgium: Bel20 Index, Panama: Panama Stock Exchange General, Brazil: Brazil BOVESPA, Romania: Bucharest Stock Exchange Trading Index, Hungary: Budapest Stock Exchange Index, France: CAC40, Chile: Chile Stock Market General, Croatia: Croatia Zagreb Crobex, Cyprus: Stock Exchange General Index, Germany: DAX Index, USA: Dow Jones Composite Index, Dubai: Financial Market General Index, UK: FTSE100 Index, Malaysia: Kuala Lumpur Composite Index, Italy: MIB Index, Taiwan: FTSE TWSE Taiwan50 Index, China: Shanghai Stock Exchange Composite Index, Spain: IBEX35 Index, Iceland: ICEX Main Index, Peru: Peru Lima General Index, Ireland: Stock Exchange Overall Index, Turkey: Ise Industrials, Indonesia: Jakarta Composite Index, Jamaica: JSE Market Index, Pakistan: Karachi All Share Index, Korea: KOSPI Index, Kuwait: Stock Exchange Index, Slovenia: Stock Exchange Blue Chip SBITOP Index, Luxemburg: Stock Exchange LunX Index, Malta: Malta Stock Exchange, Mexico: MEXICO Bolsa Index, Russia: Russia Stock Market Index, Mongolia: Stock Exchange Top 20 Index, Kenya: Securities Exchange Ltd20 Index, New Zealand: Exchange Ltd NZX Ordinaries All Index, Nigeria: Nigeria Stock Exchange, Japan: Nikkei 225, Denmark: OMX Copenhagen Index, Finland: OMX Helsinki Index, Lithuania: OMX Riga Index, Sweden: OMX Stockholm Index, Latvia: OMX Tallinn Index, Estonia: OMX Vilnius Index, Norway: Oslo Stock Exchange All Share Index, Philippines: Philippine Stock Exchange Index, Czech Republic: Prague Stock Exchange Index, Slovakia: Slovak Share Index, Sri Lanka: Colombo Stock Exchange All Share Index, Thailand: Stock Exchange of Thailand Index, Switzerland: Swiss Market Index, Venezuela: Venezuela Stock Market Index, Austria: Austrian Traded Index, Vietnam: Ho Chi Minh Stock Index, Poland: Wse Wig Index.

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Apergis, N., Gabrielsen, A. & Smales, L.A. (Unusual) weather and stock returns—I am not in the mood for mood: further evidence from international markets. Financ Mark Portf Manag 30, 63–94 (2016). https://doi.org/10.1007/s11408-016-0262-z

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