Quotation Frühwirth, Manfred, Sögner, Leopold. 2015. Weather and SAD related mood effects on the financial market. Quarterly Review of Economics and Finance (formerly: Quarterly Review of Economics and Business) 57 S. 11-31.




We investigate the relationship between weather or seasonal affective disorder and the financial market, using a wide variety of financial market data as well as several weather variables and a seasonal affective disorder proxy. We distinguish between a model with a direct effect of the weather and seasonal affective disorder 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, the former model is often used as an approximation. One major innovation of this paper is a consistent econometric implementation of the indirect effects model. We demonstrate that the approximation by direct effects yields inconsistent estimates. Our study supports some weather related, but no seasonal affective disorder related effects on the financial market. We show that, instead of focusing on single market segments, an analysis of various financial market segments is required. We also show that the analysis of individual stock returns or bond spreads reveals additional information, compared to the analysis of aggregate stock or bond indexes.


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Publication's profile

Status of publication Published
Affiliation WU
Type of publication Journal article
Journal Quarterly Review of Economics and Finance
WU Journalrating 2009 A
WU-Journal-Rating new FIN-A, STRAT-B, VW-D, WH-B
Language English
Title Weather and SAD related mood effects on the financial market
Volume 57
Year 2015
Page from 11
Page to 31
Reviewed? Y
URL http://www.sciencedirect.com/science/article/pii/S1062976915000228
DOI http://dx.doi.org/10.1016/j.qref.2015.02.003


Frühwirth, Manfred (Details)
Sögner, Leopold (Institut für Höhere Studien, Austria)
Institute for Finance, Banking and Insurance IN (Details)
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