Are Weather Induced Moods Priced in Global Equity Markets?

M. Dowling, B. Lucey
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引用次数: 5

Abstract

Recent research in behavioural finance has tested for evidence of mood misattribution influencing investor decision-making. The approach adopted is to test for a relationship between widely experienced mood proxy variables and equity returns. Variables ranging from weather, to Seasonal Affective Disorder (SAD), to sporting events, amongst other variables, have all been used in the process of these investigations. This paper conducts a comprehensive, econometrically robust, analysis of the influence of mood proxy variables across a global range of 37 equity market indices and 22 small cap indices. Our study combines key mood proxy variables tested in a range of previous papers in one study. We specifically test for SAD, Daylight Savings Time Changes, lunar, and geomagnetic effects. Only SAD appears to have any effect, worldwide.
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天气影响的情绪是否反映在全球股市中?
最近的行为金融学研究测试了情绪错误归因影响投资者决策的证据。所采用的方法是检验经验丰富的情绪代理变量与股票回报之间的关系。从天气到季节性情感障碍(SAD),到体育赛事,以及其他变量,都被用于这些调查的过程中。本文对全球37个股票市场指数和22个小盘股指数的情绪代理变量的影响进行了全面的、计量经济学上的稳健分析。我们的研究结合了之前一系列论文中测试的关键情绪代理变量。我们专门测试SAD,夏令时变化,月球和地磁效应。在世界范围内,似乎只有SAD有影响。
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