Rain or Shine: Where is the Weather Effect?
利用美国五大城市六年的个人投资者账户数据，发现晴天与阴天时个人买卖股票的倾向几乎没有差异；但纽约证券交易所的买卖价差在阴天扩大，控制这一因素后天气效应变小且不显著，表明天气对市场的影响可能源于做市商而非个人投资者。
Abstract There is considerable empirical evidence that emotion influences decision‐making. In this paper, we use a database of individual investor accounts to examine the weather effects on traders. Our analysis of the trading activity in five major US cities over a six‐year period finds virtually no difference in individuals’ propensity to buy or sell equities on cloudy days as opposed to sunny days. If the association between cloud cover and stock returns documented for New York and other world cities is indeed caused by investor mood swings, our findings suggest that researchers should focus on the attitudes of market‐makers, news providers or other agents physically located in the city hosting the exchange. NYSE spreads widen on cloudy days. When we control for this, the weather effect becomes smaller and insignificant. We interpret this as evidence that the behaviour of market‐makers, rather than individual investors, may be responsible for the relation between returns and weather .