Quotation Frühwirth, Manfred, Sögner, Leopold. 2014. Weather and SAD Related Mood Effects on the Financial Market. 23rd Annual Meeting of the European Financial Management Association, Rom, Italien, 25.06 - 28.06.


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Abstract

We investigate the relationship of weather and seasonal affective disorder (SAD) on the financial market. We use a wide variety of financial market data, namely risk-free interest rates, US corporate bond indexes, the spreads of individual US corporate bonds, stock index returns, stock returns and the VIX volatility index, as well as several weather variables and a SAD proxy. We distinguish between a model with a direct effect of the weather and SAD on the financial market and one with an indirect effect via a latent variable mood. Whereas only the latter model is justified by psychological literature, often the former model is used as an approximation. One major innovation of this paper is a consistent econometric implementation of the indirect effect assumption. We demonstrate that the approximation yields biased estimates. We show that this demands for an analysis of various financial sub-markets instead of focusing on single market segments. Our study supports weather-related, but no SAD related, mood effects on the financial market.

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Publication's profile

Status of publication Published
Affiliation WU
Type of publication Paper presented at an academic conference or symposium
Language English
Title Weather and SAD Related Mood Effects on the Financial Market
Event 23rd Annual Meeting of the European Financial Management Association
Year 2014
Date 25.06 - 28.06
Country Italy
Location Rom
URL http://www.efmaefm.org/0EFMAMEETINGS/EFMA%20ANNUAL%20MEETINGS/2014-Rome/ecases2014.php

Associations

People
Frühwirth, Manfred (Details)
External
Sögner, Leopold (IHS Wien, Austria)
Organization
Institute for Finance, Banking and Insurance IN (Details)
Research areas (ÖSTAT Classification 'Statistik Austria')
5300 Economics (Details)
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