Quotation Frühwirth, Manfred, Sögner, Leopold. 2015. Weather and SAD related mood effects on the financial market. The Quarterly Review of Economics and Finance. 57 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 The Quarterly Review of Economics and Finance
Citation Index SSCI
Language English
Title Weather and SAD related mood effects on the financial market
Volume 57
Year 2015
Page from 11
Page to 31
URL https://api.elsevier.com/content/article/PII:S1062976915000228?httpAccept=text/xml
DOI http://dx.doi.org/10.1016/j.qref.2015.02.003
Open Access N


Frühwirth, Manfred (Details)
Sögner, Leopold (Details)
Institute for Finance, Banking and Insurance IN (Details)
Research areas (ÖSTAT Classification 'Statistik Austria')
5305 Bank management (Details)
5327 Accounting (Details)
5349 Business taxation (Details)
5358 Corporate finances (Details)
5360 Financial mathematics (Details)
5361 Financial management (Details)
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